VWAP vs. SMAP Analysis: Chronological Bias Error
branhoff last edited by
I've been working on a little personal research project. I actually started it with a friend a couple years ago when I first started learning python, but didn't but it kind of dropped off as life got in the way.
I've been picking it back up and refreshing recently and wondering if anyone here has any experience backtesting stock data?
I've been trying to analyze whether Volume Weighted Average Price is a better predictor of future stock prices than a Simple Moving Average.
I'm realizing however, that the very simplistic back tested strategy I put together for both VWAP and SMAP have unnaturally better returns than a simple buy and hold. This leads me to believe that I'm accidentally bringing chronological bias into my model. Can anybody advise?