Topic
Seasonality in financial markets and time-based patterns.
4 reports
In this installment, we expand the backtester to use it as a broad-spectrum search engine to find seasonal edges. We run a backtest on all the necessary parameters to analyze the intraday seasonality of the asset
In this article, we analyze the Sharpe ratio, Value at Risk (VaR), Conditional Value at Risk (CVaR), the System Quality Number (SQN), and other relevant ratios to analyze the backtest.
Discover how to identify intraday seasonal patterns in futures and validate trading strategies through backtesting. Learn to use Python to analyze historical data, optimize parameters, and evaluate the performance of your algorithms before applying them to the real market
After a long period completely disconnected, we return to writing some notes for you. On this occasion, we are going to program from scratch a complete research process, and instead of going for a specific asset, we are going to create a complete method, reusable in the future, to be able to run it