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, although I am overall …

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

26 sep. 2023 · Trading Discussion / Free News API (Machine Learning, Live Trading, and Backtesting) Reply to Thread Page 1 2 1 trader viewing now

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 products if possible.

1 dec. 2019 · To start, a brief description of their procedure might help for comparison. Backtesting Historical simulation Monte Carlo simulation Bootstrap replication Cross-validation

15 dec. 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? Typically, financial …

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

20 jun. 2006 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

26 jun. 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 these strategies is …

23 jan. 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 Backtest …