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A reproducible approach to equity backtesting
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 r...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2020
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| _version_ | 1867613342455037952 |
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| access_status_str | Open Access |
| author | Arbi, Riaz |
| author2 | Gebbie, Timothy |
| author_browse | Arbi, Riaz Gebbie, Timothy |
| author_facet | Gebbie, Timothy Arbi, Riaz |
| author_sort | Arbi, Riaz |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/31158 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:36.552Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/31158 A reproducible approach to equity backtesting Arbi, Riaz Gebbie, Timothy Equity Backtesting Reproducible Research Event-based Backtesting R RStudio 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. 2020-02-18T10:44:14Z 2020-02-18T10:44:14Z 2019 2020-02-18T10:40:39Z Master Thesis Masters MSc http://hdl.handle.net/11427/31158 eng application/pdf Department of Statistical Sciences Faculty of Science |
| spellingShingle | Equity Backtesting Reproducible Research Event-based Backtesting R RStudio Arbi, Riaz A reproducible approach to equity backtesting |
| thesis_degree_str | Master's |
| title | A reproducible approach to equity backtesting |
| title_full | A reproducible approach to equity backtesting |
| title_fullStr | A reproducible approach to equity backtesting |
| title_full_unstemmed | A reproducible approach to equity backtesting |
| title_short | A reproducible approach to equity backtesting |
| title_sort | reproducible approach to equity backtesting |
| topic | Equity Backtesting Reproducible Research Event-based Backtesting R RStudio |
| url | http://hdl.handle.net/11427/31158 |
| work_keys_str_mv | AT arbiriaz areproducibleapproachtoequitybacktesting AT arbiriaz reproducibleapproachtoequitybacktesting |