Strategy Development and Backtesting
Books
Discussion of Strategy Development, Overfitting
| Book Name | Author | Keywords |
|---|---|---|
| Advances in Financial Machine Learning | Macros Lopez de Prado | Machine Learning, Backtesting |
Papers
| Title | Author, Year | KeywordsA |
|---|---|---|
| ... and the Cross-Section of Expected Returns | Harvey, Liu, Zhu, 2015 | The "factor zoo" - 316 cross-sectional equity anomalies have been published in renowned journals from 1980 to today and have been "discovred". |
| Evaluating Trading Strategies | Harvey, Liu, 2014 | |
| Multiple Testing Economics | Harvey, Liu, 2013 | |
| A Backtesting Protocol in the Era of Machine Learning | Robert D.Arnott, Campbell R.Harvey, Harry Markowitz, 2018 | Checklist, Bactesting, Cross-Validation |
| Review of Financial Studies | Campbell & Thompson, 2008 | model modifications |
Background: Smart-beta investing volume (less than 1 percent of 20 trillion S&P 500 flow till year 2017)
takeaways
- the "factor-zoo": 316 cross-sectional Equity anomalis have been published from 1980 to 2014.
- increase robustness:
- out-of-sample testing across multiple asset classes and time periods
- discount the Sharpe Ratio or increase statistical hurdle to higher levels
- test in other scientific fields are more strict
- research new factors: low-hanging fruit has already been picked.