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What is an acceptable Sharpe Ratio for a prop desk? A Sharpe ratio of at least 1 in backtesting is a promising start, but that is just one of many statistics of interest The Sharpe ratio measures return per unit volatility, i e , return per unit risk Some other important Sharpe-like measures with different definitions of risk include: Return per unit turnover (aka yield): A high yielding strategy is more desirable in many ways, since it may
EA for manual backtest with MT4 strategy tester | Forex Factory Hi, This is a very basic EA I'm working on, here is the first version You can use it to manually backtest strategies with MT4 Strategy Tester It only works with Strategy Tester, and only in Visual Mode At the moment you can manually buy or sell, close all positions, close all longs or all shorts TP and SL can be set in the Expert Properties Additional features will be added later Feel
Backesting VaR on overlapping intervals to years end The accuracy of your backtests should be conducted separately for each horizon , then your are performing 11 VaR backtesting on 11 diffferent periods Edit : you cannot evaluate the VaR accuracy every month, you have to wait the end of the calendar year to evaluate the 11 VaR
Difference between cross-validation, backtesting, historical simulation . . . For traditional comparison, let's assume traditional K-fold cross-validation (instead of walk-forward cv), and how pairs bootstrap (instead of residuals bootstrap) typically is good for 250 replications Compared to these, how do backtesting, historical simulation and Monte Carlo simulation resample the same dataset per run?
Rule of Traffic light - Quantitative Finance Stack Exchange I heard that there is a rule called Traffic light from Basel which is used to backtesting the VaR numbers However I could not find exactly which regulation from Basel mandates that, although I am overall familiar of this rule Could you please help me with any reference to exactly which rule first introduced the Traffic light for VaR backtesting
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