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
Products
Course
Section
Lesson
Visualisation -- 3D plots
Visualisation -- 3D plots
Advanced Backtesting Strategies
Buy now
Learn more
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
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