Week 5: Backtesting
Xander S -
I’ve spent this week coding out the main backtesting engine, downloading historical data, and evaluating the performance of some test strategies. Below are 4 simple Bollinger Bands-based strategies that I ran.
My backtesting engine provides trading plots upon request, which makes it easy to visualize strategies. Below is an example:
One of the most important parts of this project is the output tables. Below is a simplified version of what some of these tables would look like.
I could already make generalizations about technical trading based on these preliminary results, but I will not do so until I’ve tested a few hundred different strategies. I am also looking into testing strategies on ETFs with uncorrelated returns, like a gold or silver ETF. Next week, I will continue adding strategies and build a more robust strategy performance evaluation script. See you then!