Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Backtest, vectorised backtest?

Dikenal juga sebagai: backtest · vectorised backtest

Definition 16.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Bab 16 — Vectorised Backtests

A backtest is the simulation of a trading rule on historical data, producing the positions, trades, costs and returns the rule would have had. A vectorised backtest computes them as whole-array operations on panels (periods by names): target weights, returns, and costs as functions of the weight traded, without simulating orders.

Baca dalam konteks →