March 2015
Intermediate to advanced
362 pages
8h 20m
English
Content preview from Mastering R for Quantitative FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Backtesting
The word "backtesting" refers to calculating the results of a trading strategy on a historical dataset. In our case, we will use the same dataset because of which we will overestimate the effectiveness, as our statistical models were optimized on exactly the same data. In the real life, we might go for a different time period or a different group of equities (or both) to measure efficiency more objectively.
No matter how we got the best performers separated, testing the investment idea follows the same logic. You translate the result into rules, pick the firms (normally from a different sample) that fulfill the requirements and place them into one cluster, and then create another cluster to contain all the other companies. Finally, ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.