A reproducible approach to equity backtesting

Research findings relating to anomalous equity returns should ideally be repeatable by others. Usually, only a small subset of the decisions made in a particular backtest workflow are released, which limits reproducability. Data collection and cleaning, parameter setting, algorithm development and report generation are often done with manual point-and-click tools which do not log user actions. This problem is compounded by the fact that the trial-and-error approach of researchers increases the probability of backtest overfitting. Borrowing practices from the reproducible research community, we introduce a set of scripts that completely automate a portfolio-based, event-driven backtest. Based on free, open source tools, these scripts can completely capture the decisions made by a researcher, resulting in a distributable code package that allows easy reproduction of results.

Grantor

Department of Statistical Sciences

Year dc:date.issued

2019

Author dc:creator

• Arbi, Riaz

Advisor dc:contributor.advisor

• Gebbie, Timothy

• Equity Backtesting
• Reproducible Research
• Event-based Backtesting
• R
• RStudio

Handle dc:identifier.uri

http://hdl.handle.net/11427/31158

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/31158