We’ve all been there: staring at the seductive, flawless equity curve of a back test that promises untold profits. It’s the holy grail of trading, seemingly captured in a perfect algorithm that conquered years of historical data with mathematical precision. You invest your time, your hopes, and your hard-earned capital, launching the EA with high … Read more
By José Carlos Gonzáles Tanaka The ARFIMA model is well suited for capturing long-range memory in financial time series. However, it’s not always the case the time series exhibits long memory in their autocorrelation. The ARTFIMA model comes to the rescue to capture not only the long memory but also its short one and the … Read more
By Ajay Pawar This blog serves as an introduction to key concepts, but for a solid foundation in backtesting, it’s recommended to start with How to Backtest: Strategy, Analysis, and More. This will help you understand the fundamentals of testing, and analysing trading strategies before deploying them. Introduction Traditional backtesting assumes that optimising a strategy … Read more