Dec 25, 2020 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

I heard that there is a rule called Traffic light from Basel which is used to backtesting the VaR numbers. However I could not find exactly which regulation from Basel mandates that, …

Dec 15, 2023 · Regulators want to backtesting VaR estimates based on both Risk theoretical PnL and Actual PnL. My question is how can Backtesting of VaR be done with Actual PnL? …

Dec 27, 2022 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

Dec 1, 2019 · Compared to these, how do backtesting, historical simulation and Monte Carlo simulation resample the same dataset per run? "you often need hyper parameters to be …

Are there any good, usable tools for backtesting option strategies (or add-ons for standard packages or online-services or whatever). Please also provide infos on price and quality of the …

Feb 3, 2025 · Backtesting specifically, and any forecasting method in general, has limits and that’s perhaps the biggest challenge for traders to understand. Some traders place so much reliance …

Apr 28, 2023 · Backtesting is testing a trading strategy using historical market data to determine its effectiveness in the past. The process entails running the strategy through a simulated …

Jun 26, 2016 · Backtesting on historical options data Papers about backtesting option trading strategies In particular I am interested in spread trading. From these I've gathered backtesting …

Jan 23, 2020 · Recently, I read a great paper by De Prado et al. on backtest overfitting problem in Quantitative Finance titled Pseudo-Mathematics and Financial Charlatanism: the Effects of …