AdvancedMultiple choice
A colleague shows you a backtest with a Sharpe ratio of over three years. What is your first question?
- AWhat is the maximum drawdown over the period?
- BHow many variants did you test to get here?
- CWhich programming language was the backtest written in?
- DWhat is the average holding period of a position?
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
More alpha and signal research questions
- The best of a hundred backtests, part 1 of 3Foundation
- You backtest 20 independent strategies with no true skill over one year, where…Applied
- A researcher checks each new idea against the same held-out period and keeps…Applied
- The best of a hundred backtests, part 2 of 3Applied
- The best of a hundred backtests, part 3 of 3Advanced
- What does the probability of backtest overfitting measure?Expert