Pair Trading Lab Helpdesk & Forum

Pair Trading Lab => Questions & Answers => Topic started by: Osmo on November 22, 2016, 10:08:07 am

Title: Backtesting
Post by: Osmo on November 22, 2016, 10:08:07 am

Hello there,
do you use walkforward-type backtesting, with in-sample and out-of-sample periods? If so, how long are the periods? Thanks.

Title: Re: Backtesting
Post by: admin on November 25, 2016, 12:35:47 pm

Dear Osmo,

we don't support it at the moment, but we plan to develop walk-forward portfolio backtesting engine for testing automatic rule-based pair selection from the database.

We may be also open to other walk-forward testing ideas. What workflow do you exactly seek, can you give any example? Walk-forward is usually used to optimize model parameters or select something...for single pure backtest it does not have much sense.

Karel