Backtesting Archives - Concretum Group

October 1, 2024 ·General

Trading Strategy Evaluation Using p-Values and Bootstrapping

Learn how to evaluate a trading strategy using p-values, Monte Carlo simulations, and bootstrapping methods to distinguish real edge from randomness.

Tags: Algorithmic Trading Backtesting Bootstrapping Monte Carlo Simulation Quantitative Trading Statistical Analysis Strategy Validation Trading Strategy Evaluation

Research Papers — Direct Downloads

QuanTips: Global Tactical Asset Allocation - Updated Results and Real-Market Implementation Using Python and IBKR — Mohamed Gabriel, Alberto Pagani, Carlo Zarattini | View on SSRN | Download PDF
NextVoL® White Paper: Volatility Targeting for Long-Term Compounding — Walter Distaso, Antonio Mele, Carlo Zarattini | Download PDF
QuanTip: Improving Performance with Fast Alphas; A Tactical Overlay for Intraday Trend Trading — Alberto Pagani, Carlo Zarattini | View on SSRN | Download PDF
The Tranching Dilemma. A Cost-Aware Approach to Mitigate Rebalance Timing Luck in Factor Portfolios — Carlo Zarattini, Alberto Pagani | View on SSRN | Download PDF
ChatGPT in Systematic Investing – Enhancing Risk-Adjusted Returns with LLMs — Nikolas Anic, Andrea Barbon, Ralf Seiz, Carlo Zarattini | View on SSRN | Download PDF
The Volatility Edge: A Dual Approach For VIX ETNs Trading — Carlo Zarattini, Andrew Aziz, Antonio Mele | View on SSRN | Download PDF
Catching Crypto Trends; A Tactical Approach for Bitcoin and Altcoins — Carlo Zarattini, Alberto Pagani, Andrea Barbon | View on SSRN | Download PDF
Does Trend-Following Still Work on Stocks? — Carlo Zarattini, Alberto Pagani, Cole Wilcox | View on SSRN | Download PDF
The Power Of Price Action Reading — Carlo Zarattini, Marios Stamatoudis | View on SSRN | Download PDF
A Century of Profitable Industry Trends — Carlo Zarattini, Gary Antonacci | View on SSRN | Download PDF
Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY) — Carlo Zarattini, Andrew Aziz, Andrea Barbon | View on SSRN | Download PDF
A Profitable Day Trading Strategy For The U.S. Equity Market — Carlo Zarattini, Andrea Barbon, Andrew Aziz | View on SSRN | Download PDF
The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People — Carlo Zarattini, Andrew Aziz | View on SSRN | Download PDF
Volume Weighted Average Price (VWAP) The Holy Grail for Day Trading Systems — Carlo Zarattini, Andrew Aziz | View on SSRN | Download PDF
Can Day Trading Really Be Profitable? — Carlo Zarattini, Andrew Aziz | View on SSRN | Download PDF

Tag: Backtesting

Trading Strategy Evaluation Using p-Values and Bootstrapping

Can You Beat a Systematic Strategy?