4 ms·
Well backtests depend on everything including assumptions about your data, your trading reality, corrections for multi hypothesis testing, comparisons to a bill
by usgroup 6y ago
Well backtests depend on everything including assumptions about your data, your trading reality, corrections for multi hypothesis testing, comparisons to a billion benchmarks, working out why your advantage works when it does, etc. I dare say every team has their own rig which takes into account as many of their trading realities as possible.
To that effect I’m not sure there’s a useful answer to your question which won’t mislead you.