3. Unrealistic backtesting return
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Unrealistic backtesting return


  • First of all, thank you for open this amazing backtest platform for free.

    I've have made several quant strategies using bt.
    Sometimes I think backtesting result(return) is quite higher than what I expected.
    Even when I implement a strategy wrong, it makes profits.
    Usually, I rebalance 2 or 3 times annually and use momentum and volatility(1 / STDDEV of ROCP) to filtering or ranking.

    I think there are errors in my data or it's just an equal-weighted portfolio effect.

    Is there any way to audit the result except comparing it with the benchmark index?

    Thank you :)

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    administrators

    @woung717 said in Unrealistic backtesting return:

    Is there any way to audit the result except comparing it with the benchmark index?

    If you believe that there are errors in your data, the only way is to go through the data. Any other kind of audit requires that you give people some hints about why things are unrealistic.

    Yes, you can use the SharpeRatio analyzer to have another performance indicator (or the VWR which is consistent across timeframes), but if there is an error in your code it is not going to make it show up. It will simply give you a number which you can compare with the standard expectations of people who use it.

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