Personal Finance & Money Stack Exchange
Personal Finance & Money Stack Exchange

Questions tagged [backtesting]

Backtesting is the process of applying a trading strategy or analytical method to historical data to see how accurately the strategy or method would have predicted actual results. It offers analysts, traders, and investors a way to evaluate and optimize their trading strategies and analytical models before implementing them.

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Should I use regular or adjusted close for backtesting?

In an attempt run few backtesting tasks, I have obtained some historical data. I noticed that there are two closing prices available, regular close and adjusted close. After doing some reading, I have learned that the adjusted close value is being…
Eugene S
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Is backtesting a reliable concept?

I've been using technical analysis approach for several years right now and currently explore the algorithmic/automated trading techniques. It seems that one of the most important aspects of creating strategies for automated trading - is the…
Eugene S
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Can we assume uniform distribution for stock price movements for the purpose of backtesting?

I'm implementing a backtesting strategy with the following approach: We buy a stock at today's opening price. We set stop-loss and target boundaries. If the stop-loss boundary is hit first, we sell the stock at the stop-loss price. If the target…
user3070752
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Why doesn't Yahoo Finance Adjusted Close value match between its API and web interface?

I see a lot of differences between the adjusted close price in the Yahoo finance web interface and the adjusted close price returned from their API. Take Apple (AAPL) as an example. If you look up the the adjusted close on October 31, 2016 (and…
The Gilbert Arenas Dagger
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Backtesting daytrading strategy, how to handle the spread?

I am currently developing a daytrading application which based on rules and algorithms buys or sells stocks, which right now might buy/sell a stock in the magnitude of 100 per day. I am trying to backtest my strategy but i do not know how to handle…
Cleared
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Incorporating real-world parameters into simulated(paper) trading

A bit expanding the question asked here, I want to try and test a strategy using a simulated(paper) trading. As a first step, I have tried to find any brokers who provide a convenient simulated trading platform. However, after some thought, I have…
Eugene S
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Finding the most profitable strategy in hindsight

Is it possible to calculate (in a reasonable amount of time) the maximum profit, and strategy you could have used for history data? So for example buy day 1, sell day 10, buy again day 15, sell day 31 would give the most profit you could have made…
mhtsbt
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Are stock screeners with backtesting a real possibility for a trading strategy?

Some stock screeners offer backtesting. They may sell everything and buying 10 top stocks passing their criteria once a month. There can be many different rule sets, all with stellar returns over different periods of backtesting. I suspect it's just…
user13063
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Is relying only on large cap stocks a reasonable trading strategy?

I have worked on a simple strategy that looks for the stock with the largest cap, buys it, keeps it until it has a 2% increase, and then repeats the process again. This is a simple strategy but applying it to 20 stocks with the largest volume from…
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Backtesting using only Bid or Ask Price

I have a dataset containging one minute bid OHLC prices for a particular stock. Would it be reasonable to back test a trading strategy based on this data that only has bid prices? I am asking this since most of the time I see people use last prices…
Stat
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Optimisation of a Trading Strategy (Walk Forward Analysis)

To the pro traders: What do you do when the past two years of a WFA (10-15 year period) had an increasing loss (2017 = -4%, 2018 = -8%) while the other years were profitable? Do you modify the strategy? Do you conclude that it's not profitable? Or…
Francis
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Are dividends on YahooFinance adjusted for splits?

Here is an example from YahooFinance of dividends paid over time. I assume these numbers are USD - is this correct? My other question is if these dividends are adjusted for splits? In this example this does not apply because the last split was in…
user66128
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Backtesting for Vanguard Mutual Fund investments

I'm new to this so my apologies if this is out of place or not a "correct" use of backtesting. Is there a free service (or python package) for backtesting investment strategies for Vanguard mutual funds? I have an automatic investment that occurs…
devteam
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How to simulate a stop-limit order, stop-loss, and take-profit in backtesting?

I'm working on backtesting a strategy. I need to simulate stop-limit order, stop-loss, and take-profit. Here's my understanding of these concepts: Stop-limit order: You ask the broker to buy the security if its price is between the stop and limit…
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Do trading platforms purchase stocks at open price if you order the night before?

I am working on a simulated back-testing algorithm. I'm making an assumption that if you place an order of type "market", which means you ask to purchase the stock at the price of the market, the night before the market opens, your order will be…
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