When backtesting portfolio strategies, a 9-12 year lookback period is optimal, but incorporating a 25-year lookback can enhance predictiveness. Trimmed alpha is the most predictive performance measure ...

James Chen, CMT is an expert trader, investment adviser, and global market strategist. Gordon Scott has been an active investor and technical analyst or 20+ years. He is a Chartered Market Technician ...

Traders can trade efficiently when they quantify risk and return for their strategy. Analyzing the history and predicting the future behaviour of a trading strategy is at the core of backtesting. It ...

We independently evaluate all of our recommendations. If you click on links we provide, we may receive compensation. Anthony Battle is a CERTIFIED FINANCIAL PLANNER™ professional. He earned the ...

With a wide range of markets to trade on our platforms, you’ll need a backtesting strategy that’s best suited for each asset class. Explore the benefits and risks of backtesting. Backtesting is a way ...

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“I have never seen a bad backtest” is an often stated criticism of backtesting that has a high degree of truth to it - many strategies launch with strong backtests yet do not pan out as intended. In ...

Recent results have shown backtests of expected shortfall (ES) are necessarily approximated, in the sense that they are unavoidably sensitive to possible errors in the prediction of value-at-risk.

The debate on the backtestability of expected shortfall (ES) is almost as old as the risk measure itself. Despite warnings from prominent quants that the measure was unsuitable because no backtest ...

The Bank Nifty straddle strategy, like any trading approach, demands adaptability and careful scrutiny to weather changing market conditions. The 9.20 short options straddle has become popular among ...