CoachA 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.
Quantitative Finance · Begrippenlijst
Wat is Backtest, vectorised backtest?
Ook bekend als: backtest · vectorised backtest