Backtesting

2 stories tagged Backtesting on Learning Fanatic.

Lesson 11.2: Value at risk and expected shortfall What value at risk and expected shortfall measure, three ways to compute them, why VaR can mislead, and how to backtest a risk model with real exception counts.
Lesson 4.1: Backtest design and look-ahead bias Learn to design a backtest: vectorised and event-driven engines, realistic fills, the biases that flatter results, and checks to run before you trust a number.