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Re:Quantopian hedge fund has lost about 3% since beginning o... by c128 on Wednesday November 08, 2017 @01:37PM (#15655474)
2007, that's when most quant shops shit the bed, you didn't miss much goodtimes. I'm curious, how many out of samples did you backtest your algo through? And what time frames were used ?
Re:Quantopian hedge fund has lost about 3% since beginning o... by kevstev on Wednesday November 08, 2017 @02:20PM (#15655943)
In general, I backtested for the longest period the platform would allow, which is unfortunately only back to about 2002 (I really wish it went back pre-.com boom, to 1997 or so). I would then often do separate tests for 2007-2013, 2012+, etc, just to see how returns were affected by market timing- you can kind of eyeball this, but over long timeframes, sometimes unacceptable underperformance during a volatile period can be a bit hidden over a long period.
Re:Quantopian hedge fund has lost about 3% since beginning o... by c128 on Wednesday November 08, 2017 @02:42PM (#15656172)
We easily go over a hundred years of testing.
Re:Quantopian hedge fund has lost about 3% since beginning o... by kevstev on Wednesday November 08, 2017 @02:59PM (#15656370)
If you have the data, that's great. Is there really value in that though? Markets have changed so much, especially with the rise of index funds and etfs and such. I couldn't imagine much value going back to pre WWII, or even before 1970. I would be satisfied if Q went back to the early 80s
Re:Quantopian hedge fund has lost about 3% since beginning o... by c128 on Wednesday November 08, 2017 @04:32PM (#15657281)
I'll put it to you this way, I was stunned at how much hasn't changed.