Chapter 16: Strategy Simulation
Why Identical Weights Can Mean Different Strategies intermediate
A backtest is a time-indexed state transition, not a weight vector multiplied by returns.
A backtest is a time-indexed state transition, not a weight vector multiplied by returns.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Advances in Financial Machine Learning
Marcos Lopez de Prado
(2018)
— John Wiley & Sons
Man versus Machine Learning Revisited
Yingguang Zhang, Yandi Zhu, Juhani T. Linnainmaa
(2024)
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
David H. Bailey, Jonathan M. Borwein, Marcos López De Prado, Qiji Jim Zhu
(2014)
— Notices of the American Mathematical Society