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Backtesting Trading Strategy
Solutions for Backtesting Problems
Market Testing Wizards' services will allow you to sidestep all of the common pitfalls associated with backtesting trading systems. First, we use high quality data to eliminate data integrity problems and our equities data includes delisted companies to eliminate survivorship bias. Our experienced system modelers will alert you to potential curve fitting or data mining and recommend the appropriate statistical approaches to aid in optimizing your system. We are always on the lookout for inadvertent future leak and all of our code is independently verified during a QA process.
"Survivorship Free" Data
Unfortunately, frequently the equities data used to develop systems does not include the companies that are no longer in business or that have merged with other surviving companies. This results in a very significant bias towards the successful companies and can mislead developers or traders. Our backtests are performed with high quality data which includes delisted stocks to eliminate any survivorship bias and other data integrity problems.
System
Data Used for Backtest
Returns
(CAGR)
Win %
Avg P/L
Max Daily Draw Down
System B
(Breakout System)
Standard Data
(widely used)
40.2%
48.0%
28.0%
-42.4%
"Survivorship Free" Data
(includes delisted stocks)
25.5%
49.0%
14.7%
-49.0%
System M
(Momentum)
Standard Data
(widely used)
11.3%
46.0%
6.1%
-64.9%
"Survivorship Free" Data
(includes delisted stocks)
23.5%
43.0%
11.4%
-47.7%
System B
(Breakout System)
Standard Data
(widely used)
61.2%
67.1%
2.2%
-29.64%
"Survivorship Free" Data
(includes delisted stocks)
73.7%
66.29%
2.4%
-59.1%

 

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