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Jay Mackro wrote:
> How can we be confident that as a backtest extends
> further back in time that the characteristics of
> the data are representative of the environment in
> which the system will be trading in real-time?
What you are referring to is stationarity of the data. That is to say that
the same forces affecting the behavior of the time series in remain constant
over the life of the data. For example, if one were performing a
statistical analysis of bond market prices the underlying assumption is that
the same factors affecting the bond today were the same factors affecting
the bond market in 1980.
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