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0a3bbaf · May 30, 2022

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backtest

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Backtest

Test against daily bars between 2010 and 2019. It may not be fair to some intraday strategies.

Backtest Blog

Examples of parameter search.

Examples of talib

Index Backtest Sharpe
1 Buy and Hold 0.78
2 Moving Average cross -0.27
3 Moving Average double cross 0.32
4 Bollinger Bands 0.60
5 Dual Thrust -0.10
6 Ghost Trader -0.14
7 R-Breaker 0.15
8 dynamic breakout ii 0.51
9 Turtle 0.15
10 Mebane Faber TAA 0.50
11 MinVar, MaxSharpe, MaxDiversified, RiskParity 1.08, 0.66, 0.90, 0.81
12 Comdty Roll pre-roll 0.55 vs last day -0.50 due to -$37.63 oil price