Rule of Traffic light - Quantitative Finance Stack Exchange
The red zone indicates a backtesting result that almost certainly indicates a problem with a bank’s risk model. etc Traffic light rating systems are widely used not only for VaR backtesting, but for all sorts …
Backtesting Tips - Forex Factory
Feb 3, 2025 · Backtesting specifically, and any forecasting method in general, has limits and that’s perhaps the biggest challenge for traders to understand. Some traders place so much reliance on …
99% backtesting. Where and how? - Forex Factory
Dec 25, 2020 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.
backtesting - Writing an Options Strategy Backtester - Quantitative ...
Jun 26, 2016 · Backtesting on historical options data Papers about backtesting option trading strategies In particular I am interested in spread trading. From these I've gathered backtesting these strategies …
Backtesting of VaR estimates - Quantitative Finance Stack Exchange
Dec 15, 2023 · Regulators want to backtesting VaR estimates based on both Risk theoretical PnL and Actual PnL. My question is how can Backtesting of VaR be done with Actual PnL? Typically, financial …
MT4 Backtesting Threads - Forex Factory
Jun 20, 2006 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.
Difference between cross-validation, backtesting, historical simulation ...
Dec 1, 2019 · Compared to these, how do backtesting, historical simulation and Monte Carlo simulation resample the same dataset per run? "you often need hyper parameters to be trained to analyse" - …
Share Backtesting Spreadsheets/Trading Journals - Forex Factory
Dec 27, 2022 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.
Backtesting in python continue build or buy available software
Sep 30, 2024 · 4 I started building a backtesting application in Python to backtest and optimize trading strategies, but I've paused to assess whether to continue development or purchase software to …
Rationale behind independence testing (e.g. Christoffersen’s test) for ...
Feb 19, 2025 · I'm reading up on backtesting methodologies and having trouble understanding the rationale for independence testing using, for example, the Christoffersen method.