Backtesting Workshop

This e-learning workshop is designed for traders and investment managers who are looking to test a trading strategy. The course will provide delegates with a fundamental and practical understanding of issues in backtesting, optimization, and risk control, and delegates will use relevant software throughout the workshop.

Our e-learning workshop is designed to give you everything you need to get started and includes:

  • Online course module (3 months access)
  • Hard copy manual
  • MATLAB software with MATLAB tutorial
  • Direct access to trainer for assistance

This course will be conducted using MATLAB. All delegates will receive a pre-recorded 3 hour MATLAB tutorial. (Note: Students will be able to apply the principles learnt during the workshop, regardless of which software they choose to use thereafter).

Frequently Asked Questions

Duration:

3 Hours

Trainer:

Ernest Chan

Course Fee:

£595 + VAT

Register

 Overview

  • What is backtesting and how does it differ from “simulations”?
  • What can we do to increase the predictive power of our backtest results?
  • Incorporating optimization and money/risk management schemes into your backtest
  • How to identify good/bad strategies even before a backtest

Choosing a backtest platform

  • Criteria for choosing a suitable backtest platform
  • Discussion of pros and cons of each platform
  • Special considerations for backtesting high frequency strategies
  • Why do we choose MATLAB?

Choosing a historical database

  • Criteria for choosing a good historical database
  • Discussion of pros and cons of each database

The Essentials of MATLAB

  • Quick survey of syntax
  • Building some useful utilities for trading and plotting simple graphs
  • Using toolboxes

Exercise: Backtesting various types of strategies

  • Single ETF/stock/currency
  • Futures: Handling rollovers and backtesting seasonal strategies
  • Portfolio of stocks

Performance measurement

  • Returns and excess returns
  • Drawdown calculation
  • The importance of Sharpe ratio
  • Subtleties in Sharpe ratio calculation

Ways In which Your backtest may not reflect reality

  • Look-ahead bias
  • Data-snooping bias and ways to avoid it
  • Survivorship bias
  • Impact of noisy data on different types of strategies
  • Impact of historical or current short-sale constraint
  • Impact of transaction costs
  • Volume constraint
  • Regime change
  • The importance of paper trading

Optimization of parameters

  • Using MATLAB to optimize
  • Using Alphacet Discovery to optimize (Demo)
  • Interpolating the optimal parameters
  • Pitfalls of parameter optimization
  • What is “portfolio optimization” and do you need it?

Money and risk management

  • Optimal capital allocation & leverage via “correlation analysis” & Kelly formula for continuous finance

WHAT IS THE TIMELINE FOR THE COURSE?
You can start the course anytime you wish and will gain access to the online course materials within one business day of registration. Your online access will last for 3 months, plus you will also receive a hard copy of the manual within a few days of registration.

HOW LONG SHOULD IT TAKE ME TO COMPLETE THE COURSE?
We provide three months’ access to the online material (one month to MATLAB) to give students a chance to take things at their own pace, but we expect most people to take no longer than a week to complete the course.

WHAT KIND OF MATLAB ASSISTANCE AM I PROVIDED WITH?
There is a MATLAB tutorial included in the workshop. If you have used MATLAB before, you should find it quite easy to complete the exercises, which do not require extensive programming. No prior knowledge of MATLAB is in fact necessary, although some general experience in programming using other simple languages would be useful.

WHEN WILL MY MATLAB LICENCE BEGIN?
You are advised to go through the online material first, then let us know when you are ready to start the course in conjuntion with the MATLAB exercises, at which point we will request that your MATLAB licence begin. Please bear in mind it may take a couple of days to set you up with MATLAB.

IS THE COURSE STILL USEFUL IF I HAVE NO INTENTION OF USING MATLAB?
Yes, the main aim of the course is to communicate the principles of artificial intelligence. Furthermore, MATLAB programming code can be adapted fairly easily into ‘R’, an open-source alternative.

WHAT DOES THE ONLINE COURSE MATERIAL COMPRISE?
The online course material is made up of two modules. The first module is the main course and consists of slides with the trainer’s narration, recorded demos, and exercises with answers. The second module consists of a tutorial covering the essentials of MATLAB programming.

WILL I BE ABLE TO ASK QUESTIONS AS I GO ALONG?
The trainer is happy to help you out in case you need assistance. Questions can be asked directly by email or through the trainer’s blog. However, the number and depth of the questions should be kept within reason and within the scope of the training course.