Has anyone written a monte carlo simulation of backtest returns for Research?

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Has anyone written a monte carlo simulation of backtest returns for Research?

Simon Thornington

posted

Seeking Help Research Statistics

If not, I will do so this weekend, but before I do - anyone remember whether one is suppose to sample returns with replacement or without? I forget.

Simon.

1 response

Haven't actually looked at this, but it's on my list to look at...

https://www.quantopian.com/posts/bayesian-analysis-of-backtest-results

mentions in paragraph 3 that it is using pyMC3 to do it's analysis

Lets create the Bayesian tear sheet. Under the hood this is running
MCMC sampling in PyMC3 to estimate the posteriors which can take quite
a while (that's the reason why we don't generate this by default in
create_full_tear_sheet()).

alan

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