Data-Snooping Biases in Backtesting
| Thesis title: | Data-Snooping Biases in Backtesting |
|---|---|
| Author: | Krpálek, Jan |
| Thesis type: | Diploma thesis |
| Supervisor: | Bašta, Milan |
| Opponents: | Malá, Ivana |
| Thesis language: | English |
| Abstract: | In this paper, we utilize White's Reality Check, White (2000), and Hansen's SPA test, Hansen (2004), to evaluate technical trading rules while quantifying the data-snooping bias. Secondly, we discuss the result with Probability of Backtest Overfitting framework, introduced by Bailey et al. (2015). Hence, the study presents a comprehensive test of momentum trading across the US futures markets from 2004 to 2016. The evidence indicates that technical trading rules have not been pro?table in the US futures markets after correcting for the data snooping bias. |
| Keywords: | Probability of Backtest Over?tting; Data Snooping; Backtesting; Reality Check; Algorithmic Trading |
| Thesis title: | Data-Snooping Biases in Backtesting |
|---|---|
| Author: | Krpálek, Jan |
| Thesis type: | Diplomová práce |
| Supervisor: | Bašta, Milan |
| Opponents: | Malá, Ivana |
| Thesis language: | English |
| Abstract: | C??ílem diplomov?é pr?áce je implementace Whitova Reality testu, White (2000), a Hansenova SPA testu, Hansen (2004), za ?účelem identi?kace tzv. "data snooping" vych?ýlen??í v algoritmick?ych obchodních strategi??ích. V?ýsledky t?ěchto testů budou konfrontov?ány s PBO statistikou, Bailey et al. (2015). Za vyu?žití t?ěchto test?ů n?ásledn?ě hodnotí??me obchodov?an??í momentum strategi??í na americk?ých futures trz??ích v letech 2004-2016. Z?áv?ěrem konstatujeme, ?že strategie po o?či?št?ění?? o data snooping vych?ýlení?? nedosahuj??í v?yznamn?é ziskovosti. |
| Keywords: | Algoritmick?é obchodov?ání; Probability of Backtest Over?tting; Reality Check; Data Snooping; Backtesting |
Information about study
| Study programme: | Kvantitativní metody v ekonomice/Statistika |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Informatics and Statistics |
| Department: | Department of Statistics and Probability |
Information on submission and defense
| Date of assignment: | 2. 2. 2016 |
|---|---|
| Date of submission: | 5. 1. 2017 |
| Date of defense: | 1. 2. 2017 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/57029/podrobnosti |