A reproducible approach to equity backtesting
| dc.contributor.advisor | Gebbie, Timothy | |
| dc.contributor.author | Arbi, Riaz | |
| dc.date.accessioned | 2020-02-18T10:44:14Z | |
| dc.date.available | 2020-02-18T10:44:14Z | |
| dc.date.issued | 2019 | |
| dc.date.updated | 2020-02-18T10:40:39Z | |
| dc.description.abstract | 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. | |
| dc.identifier.apacitation | Arbi, R. (2019). <i>A reproducible approach to equity backtesting</i>. (). ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/31158 | en_ZA |
| dc.identifier.chicagocitation | Arbi, Riaz. <i>"A reproducible approach to equity backtesting."</i> ., ,Faculty of Science ,Department of Statistical Sciences, 2019. http://hdl.handle.net/11427/31158 | en_ZA |
| dc.identifier.citation | Arbi, R. 2019. A reproducible approach to equity backtesting. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Arbi, Riaz AB - 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. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Equity Backtesting KW - Reproducible Research KW - Event-based Backtesting KW - R KW - RStudio LK - https://open.uct.ac.za PY - 2019 T1 - A reproducible approach to equity backtesting TI - A reproducible approach to equity backtesting UR - http://hdl.handle.net/11427/31158 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/31158 | |
| dc.identifier.vancouvercitation | Arbi R. A reproducible approach to equity backtesting. []. ,Faculty of Science ,Department of Statistical Sciences, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/31158 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | Department of Statistical Sciences | |
| dc.publisher.faculty | Faculty of Science | |
| dc.subject | Equity Backtesting | |
| dc.subject | Reproducible Research | |
| dc.subject | Event-based Backtesting | |
| dc.subject | R | |
| dc.subject | RStudio | |
| dc.title | A reproducible approach to equity backtesting | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MSc |