Advanced Backtesting Strategies
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Python Notebook

Advacned_Backtesting_Notebook.ipynb
Welcome

Course overview
1. Preparing financial data for backtesting

Resampling for different data frequencies
Filling financial data
2. Different types of backtests

Pandas backtest
Looping backtest
Vectorised backtest
3. Parameter sweeps to gain insights

An example -- sweeping different moving average windows
Defining a metric
Visualisation -- 3D plots
Visualisation -- contour plots
How to ensure our strategy also delivers for the future?
Assessing the best parameters -- are they viable trades?
4. Fundamentals of portfolio optimisation

Varying asset weightings -- preparation
Randomising asset weightings
Finding the best asset weightings
Evaluating the performance of the optimised portfolio
5. Advanced analysis

Sortino ratio
CAGR (Compound Annual Growth Rate)
Beta
Monte Carlo simulation -- different return paths
Distribution of returns
Assessing the strategy further -- trimming the tails
6. Test your knowledge!

Advacned_Backtesting_Exercises_Without_Solutions.ipynb
Explanations
Advacned_Backtesting_Exercises_With_Solutions.ipynb

1. Preparing financial data for backtesting

2 Lessons