Beyond Backtesting: The Historical Evidence Trap

6 Pages Posted: 20 May 2015

See all articles by Ulrich Hammerich

Ulrich Hammerich

University of Bremen - Department of Finance

Date Written: May 17, 2015

Abstract

Sound backtesting methodology is an important aspect in finding and handling promising trading/investment strategies. Although this goal on its own is very difficult to accomplish (Challet & Ayet 2013) one has to deal with even more traps and biases that are capable of affecting future trading/investment performance negatively. This paper briefly sketches four aspects located beyond the well known backtesting biases that are even more difficult to grasp and control.

Keywords: backtesting, market efficiency, investment performance, technological advance

JEL Classification: C50, G10, O30

Suggested Citation

Hammerich, Ulrich, Beyond Backtesting: The Historical Evidence Trap (May 17, 2015). Available at SSRN: https://ssrn.com/abstract=2607237 or http://dx.doi.org/10.2139/ssrn.2607237

Ulrich Hammerich (Contact Author)

University of Bremen - Department of Finance ( email )

Max-von-Laue-Str. 1
Bremen, D-28359
Germany

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