November 24, 2024 at 5:08 PM
Backtesting investment strategies using synthetic market data.
In this article, I present a procedure that addresses the main limitations of historical backtests, which rely on only one historical realization: open.substack.com/pub/antonvor...
#quant #quantsky #finance #markets #backtesting #cvar
In this article, I present a procedure that addresses the main limitations of historical backtests, which rely on only one historical realization: open.substack.com/pub/antonvor...
#quant #quantsky #finance #markets #backtesting #cvar
Better Backtesting
This post introduces a backtesting approach that leverages synthetic market data to overcome the primary limitation of historical backtesting.
open.substack.com
February 6, 2025 at 12:49 PM
Backtesting investment strategies using synthetic market data.
In this article, I present a procedure that addresses the main limitations of historical backtests, which rely on only one historical realization: open.substack.com/pub/antonvor...
#quant #quantsky #finance #markets #backtesting #cvar
In this article, I present a procedure that addresses the main limitations of historical backtests, which rely on only one historical realization: open.substack.com/pub/antonvor...
#quant #quantsky #finance #markets #backtesting #cvar
If you want to see uncertainty in the market, check for example, the $VIX.
We have the VIX’s full options activity, movements, backtesting, and more. you can check on Unusual Whales
See the VIX: unusualwhales.com/stock/VIX/overview
We have the VIX’s full options activity, movements, backtesting, and more. you can check on Unusual Whales
See the VIX: unusualwhales.com/stock/VIX/overview
April 12, 2025 at 3:24 AM
If you want to see uncertainty in the market, check for example, the $VIX.
We have the VIX’s full options activity, movements, backtesting, and more. you can check on Unusual Whales
See the VIX: unusualwhales.com/stock/VIX/overview
We have the VIX’s full options activity, movements, backtesting, and more. you can check on Unusual Whales
See the VIX: unusualwhales.com/stock/VIX/overview
Backtesting Crypto Trading Strategies: Challenges and Best Practices
Backtesting Crypto Trading Strategies: Challenges and Best Practices Backtesting is the process of simulating a trading strategy on historical price data to estimate how it would have performed in the past. In crypto, where…
Backtesting Crypto Trading Strategies: Challenges and Best Practices Backtesting is the process of simulating a trading strategy on historical price data to estimate how it would have performed in the past. In crypto, where…
Backtesting Crypto Trading Strategies: Challenges and Best Practices
Backtesting Crypto Trading Strategies: Challenges and Best Practices Backtesting is the process of simulating a trading strategy on historical price data to estimate how it would have performed in the past. In crypto, where markets trade 24/7 across hundreds of venues and a single tweet can move prices 20%, backtesting is both indispensable and treacherous. A strategy that looks flawless on a chart of Bitcoin's 2021 bull run can disintegrate in live trading due to fees, slippage, or regime shifts.
digitalninjasystems.wpcomstaging.com
September 22, 2026 at 5:26 PM
Backtesting Crypto Trading Strategies: Challenges and Best Practices
Backtesting Crypto Trading Strategies: Challenges and Best Practices Backtesting is the process of simulating a trading strategy on historical price data to estimate how it would have performed in the past. In crypto, where…
Backtesting Crypto Trading Strategies: Challenges and Best Practices Backtesting is the process of simulating a trading strategy on historical price data to estimate how it would have performed in the past. In crypto, where…
Better Backtesting from @antonvorobets.bsky.social #quant
Better Backtesting from @antonvorobets.bsky.social #quant
I recently wrote a post about naive backtesting of investment risk measures1, which is usually performed in the following way: Look at some historical data samples. Optimize portfolios using different risk measures. Crown the investment risk measure with…
antonvorobets.substack.com
February 7, 2025 at 2:10 PM
Better Backtesting from @antonvorobets.bsky.social #quant
Backtesting isn't about making a strategy look profitable. It's about discovering how your rules behaved historically before risking real money.
Get 20% OFF TradeZella Today: go.investorbullrun.com/tradezella
#daytrading #stockmarket #stocks #forex #options #futures #crypto #trading #forextrading
Get 20% OFF TradeZella Today: go.investorbullrun.com/tradezella
#daytrading #stockmarket #stocks #forex #options #futures #crypto #trading #forextrading
September 24, 2026 at 11:55 AM
Backtesting isn't about making a strategy look profitable. It's about discovering how your rules behaved historically before risking real money.
Get 20% OFF TradeZella Today: go.investorbullrun.com/tradezella
#daytrading #stockmarket #stocks #forex #options #futures #crypto #trading #forextrading
Get 20% OFF TradeZella Today: go.investorbullrun.com/tradezella
#daytrading #stockmarket #stocks #forex #options #futures #crypto #trading #forextrading
Backtesting synthetic sample on prior election results is testing on your training data, not out of sample data
August 12, 2026 at 12:35 PM
Backtesting synthetic sample on prior election results is testing on your training data, not out of sample data
Backtesting Swing Trading Strategies: A Practical Guide
The Mechanics of Historical Simulation Backtesting is the process of applying a trading strategy to historical data to determine its viability and profitability. For swing traders, who typically hold positions for two to ten days, backtesting…
The Mechanics of Historical Simulation Backtesting is the process of applying a trading strategy to historical data to determine its viability and profitability. For swing traders, who typically hold positions for two to ten days, backtesting…
Backtesting Swing Trading Strategies: A Practical Guide
The Mechanics of Historical Simulation Backtesting is the process of applying a trading strategy to historical data to determine its viability and profitability. For swing traders, who typically hold positions for two to ten days, backtesting bridges the gap between theoretical strategy and live market execution. It involves three core components: the dataset, the market engine, and the strategy logic. The dataset must be clean, adjusted for stock splits and dividends, and granular enough to capture intraday volatility.
digitalninjasystems.wpcomstaging.com
September 24, 2026 at 8:14 PM
Backtesting Swing Trading Strategies: A Practical Guide
The Mechanics of Historical Simulation Backtesting is the process of applying a trading strategy to historical data to determine its viability and profitability. For swing traders, who typically hold positions for two to ten days, backtesting…
The Mechanics of Historical Simulation Backtesting is the process of applying a trading strategy to historical data to determine its viability and profitability. For swing traders, who typically hold positions for two to ten days, backtesting…
#JPMorgan builds #AIagents that outperform traditional #portfolios in two decades of #backtesting
#cryptonews #crypto #trading
cryptobriefing.com/jpmorgan-ai-...
#cryptonews #crypto #trading
cryptobriefing.com/jpmorgan-ai-...
JPMorgan builds AI agents that outperform traditional portfolios in two decades of backtesting
JPMorgan's AI agents beat the classic 60/40 portfolio by 0.7 percentage points annually with lower volatility across two decades of backtesting.
cryptobriefing.com
July 10, 2026 at 3:35 AM
#JPMorgan builds #AIagents that outperform traditional #portfolios in two decades of #backtesting
#cryptonews #crypto #trading
cryptobriefing.com/jpmorgan-ai-...
#cryptonews #crypto #trading
cryptobriefing.com/jpmorgan-ai-...
6/6
Next large book: the 30 Oct monthly, 115,222 contracts, max pain 73,000. That strike sits 14 % below spot, with 70,050 calls above spot.
Watch whether it climbs too.
tradingstrategies.work/dashboard/bi...
Study the Past — Improve your Future 🥋
#backtesting
Next large book: the 30 Oct monthly, 115,222 contracts, max pain 73,000. That strike sits 14 % below spot, with 70,050 calls above spot.
Watch whether it climbs too.
tradingstrategies.work/dashboard/bi...
Study the Past — Improve your Future 🥋
#backtesting
Backtesting Arena – Backtest Trading Strategies like a Pro
Before you spend $800 on an indicator – test if it actually works. Backtest systematic strategies on crypto (Binance) with real market data, plus explainable Bitcoin cycle, macro-regime and on-chain a...
tradingstrategies.work
September 25, 2026 at 12:26 PM
6/6
Next large book: the 30 Oct monthly, 115,222 contracts, max pain 73,000. That strike sits 14 % below spot, with 70,050 calls above spot.
Watch whether it climbs too.
tradingstrategies.work/dashboard/bi...
Study the Past — Improve your Future 🥋
#backtesting
Next large book: the 30 Oct monthly, 115,222 contracts, max pain 73,000. That strike sits 14 % below spot, with 70,050 calls above spot.
Watch whether it climbs too.
tradingstrategies.work/dashboard/bi...
Study the Past — Improve your Future 🥋
#backtesting
Check out this post about naive backtesting of CVaR and variance optimization.
It includes Section 2.6 from the Portfolio Construction and Risk Management book.
antonvorobets.substack.com/p/naive-back...
#finance #markets #quant #quantfinance #investing #quantsky #python #cvar
It includes Section 2.6 from the Portfolio Construction and Risk Management book.
antonvorobets.substack.com/p/naive-back...
#finance #markets #quant #quantfinance #investing #quantsky #python #cvar
Naive Backtesting
This article presents a traditional expanding window backtest of CVaR and variance optimization.
antonvorobets.substack.com
December 5, 2024 at 12:39 PM
Check out this post about naive backtesting of CVaR and variance optimization.
It includes Section 2.6 from the Portfolio Construction and Risk Management book.
antonvorobets.substack.com/p/naive-back...
#finance #markets #quant #quantfinance #investing #quantsky #python #cvar
It includes Section 2.6 from the Portfolio Construction and Risk Management book.
antonvorobets.substack.com/p/naive-back...
#finance #markets #quant #quantfinance #investing #quantsky #python #cvar
10/10
Shown a multi-day-candle result? Ask:
→ which alignment
→ which window
→ how many trades
Under ~12 pp CAGR, 1d/2d/3d are one block, not a ranking.
tradingstrategies.work/dashboard/cr...
Not investment advice, not a forecast.
Study the Past — Improve your Future 🥋
#backtesting
Shown a multi-day-candle result? Ask:
→ which alignment
→ which window
→ how many trades
Under ~12 pp CAGR, 1d/2d/3d are one block, not a ranking.
tradingstrategies.work/dashboard/cr...
Not investment advice, not a forecast.
Study the Past — Improve your Future 🥋
#backtesting
Backtesting Arena – Backtest Trading Strategies like a Pro
Before you spend $800 on an indicator – test if it actually works. Backtest systematic strategies on crypto (Binance) with real market data, plus explainable Bitcoin cycle, macro-regime and on-chain a...
tradingstrategies.work
September 24, 2026 at 1:34 PM
10/10
Shown a multi-day-candle result? Ask:
→ which alignment
→ which window
→ how many trades
Under ~12 pp CAGR, 1d/2d/3d are one block, not a ranking.
tradingstrategies.work/dashboard/cr...
Not investment advice, not a forecast.
Study the Past — Improve your Future 🥋
#backtesting
Shown a multi-day-candle result? Ask:
→ which alignment
→ which window
→ how many trades
Under ~12 pp CAGR, 1d/2d/3d are one block, not a ranking.
tradingstrategies.work/dashboard/cr...
Not investment advice, not a forecast.
Study the Past — Improve your Future 🥋
#backtesting
Mrs K., what are you doing on your phone?
Me. Clearing out the backtesting crypto DB to run another 4+ year backtest. Trying to optimise the Roi compounding of the algorithm. I was tired and didn't finish it from my desk.
Mrs K. Next time, tell me you are watching porn.
🙄
Me. Clearing out the backtesting crypto DB to run another 4+ year backtest. Trying to optimise the Roi compounding of the algorithm. I was tired and didn't finish it from my desk.
Mrs K. Next time, tell me you are watching porn.
🙄
September 17, 2026 at 12:37 PM
Mrs K., what are you doing on your phone?
Me. Clearing out the backtesting crypto DB to run another 4+ year backtest. Trying to optimise the Roi compounding of the algorithm. I was tired and didn't finish it from my desk.
Mrs K. Next time, tell me you are watching porn.
🙄
Me. Clearing out the backtesting crypto DB to run another 4+ year backtest. Trying to optimise the Roi compounding of the algorithm. I was tired and didn't finish it from my desk.
Mrs K. Next time, tell me you are watching porn.
🙄
Jag har kodat all min backtesting själv, därför litar jag inte ett skit på den
March 29, 2025 at 9:24 PM
Jag har kodat all min backtesting själv, därför litar jag inte ett skit på den
Our second-most-popular strategy makes +9.2%/yr in the backtest.
After trading fees: +1.1%.
We just benched it. A thread on the tax most backtests never charge you. 🧵 #backtesting
After trading fees: +1.1%.
We just benched it. A thread on the tax most backtests never charge you. 🧵 #backtesting
July 3, 2026 at 11:18 AM
Our second-most-popular strategy makes +9.2%/yr in the backtest.
After trading fees: +1.1%.
We just benched it. A thread on the tax most backtests never charge you. 🧵 #backtesting
After trading fees: +1.1%.
We just benched it. A thread on the tax most backtests never charge you. 🧵 #backtesting
V7 — Check parameter robustness
The best setting you found: real skill, or the luckiest number? The robustness field puts your result next to its neighbours: same rule on other pairs, then the settings next door. Plateau beats peak.
#backtesting
tradingstrategies.work/guide/parame...
The best setting you found: real skill, or the luckiest number? The robustness field puts your result next to its neighbours: same rule on other pairs, then the settings next door. Plateau beats peak.
#backtesting
tradingstrategies.work/guide/parame...
September 25, 2026 at 7:31 AM
V7 — Check parameter robustness
The best setting you found: real skill, or the luckiest number? The robustness field puts your result next to its neighbours: same rule on other pairs, then the settings next door. Plateau beats peak.
#backtesting
tradingstrategies.work/guide/parame...
The best setting you found: real skill, or the luckiest number? The robustness field puts your result next to its neighbours: same rule on other pairs, then the settings next door. Plateau beats peak.
#backtesting
tradingstrategies.work/guide/parame...
📈 Bakkt #$BKKT is showing constructive technical momentum, with favorable price action supported by backtesting and lighter trading volume. #brokerage
September 25, 2026 at 6:12 PM
📈 Bakkt #$BKKT is showing constructive technical momentum, with favorable price action supported by backtesting and lighter trading volume. #brokerage
How to Account for Slippage in Backtesting
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
How to Account for Slippage in Backtesting
Backtesting is a method used by investors to develop trading systems.
ift.tt
January 24, 2026 at 10:56 PM
How to Account for Slippage in Backtesting
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
We go silent when backtesting or developing the econometric model.
Currently backtesting the M3 condition (locates minima) for a variety of indices and Bitcoin.
#trading #tradewar #stocks #investing #bitcoin #gold #inflation #data #Riksbank #Fed #tariffs #economy $VIX #econsky #FinSky #finance
Currently backtesting the M3 condition (locates minima) for a variety of indices and Bitcoin.
#trading #tradewar #stocks #investing #bitcoin #gold #inflation #data #Riksbank #Fed #tariffs #economy $VIX #econsky #FinSky #finance
May 21, 2025 at 5:07 PM
V6 — Understanding the Arena Score
Three checks before a result deserves trust: benchmark, costs, sample size. The Arena Score weighs them into one number and shows its parts. How to read it, and what it cannot tell you.
#backtesting
tradingstrategies.work/guide/arena-...
Three checks before a result deserves trust: benchmark, costs, sample size. The Arena Score weighs them into one number and shows its parts. How to read it, and what it cannot tell you.
#backtesting
tradingstrategies.work/guide/arena-...
September 24, 2026 at 11:00 AM
V6 — Understanding the Arena Score
Three checks before a result deserves trust: benchmark, costs, sample size. The Arena Score weighs them into one number and shows its parts. How to read it, and what it cannot tell you.
#backtesting
tradingstrategies.work/guide/arena-...
Three checks before a result deserves trust: benchmark, costs, sample size. The Arena Score weighs them into one number and shows its parts. How to read it, and what it cannot tell you.
#backtesting
tradingstrategies.work/guide/arena-...
We're currently backtesting a new model we call "walking the dog" which uses signals from dogecoin's value to predict overall market performance at open the next day, and folks, we are currently panicking.
Here at Ligma Capital LLP, we pride ourselves in taking the very rational market extremely seriously. Through due dilligence and weeks of expertise using AI models to summarize Wikipedia articles we trade an actively managed basket of shitcoins, memecoins, minimum 3x leveraged etfs.
January 28, 2025 at 9:49 PM
We're currently backtesting a new model we call "walking the dog" which uses signals from dogecoin's value to predict overall market performance at open the next day, and folks, we are currently panicking.
1) Nostradamus was also a fraud
2) Who is dubbing him that?
3) Backtesting an overfitted model isn’t a prediction so no he didn’t predict the last 40 years of elections
2) Who is dubbing him that?
3) Backtesting an overfitted model isn’t a prediction so no he didn’t predict the last 40 years of elections
September 5, 2024 at 1:04 PM
1) Nostradamus was also a fraud
2) Who is dubbing him that?
3) Backtesting an overfitted model isn’t a prediction so no he didn’t predict the last 40 years of elections
2) Who is dubbing him that?
3) Backtesting an overfitted model isn’t a prediction so no he didn’t predict the last 40 years of elections