Quantitative Methods
Backtesting discipline, the biases that fool you, and the statistics behind systematic strategies.
Recommended first: Risk Management
Tick lessons off as you go, saved in this browser, no account needed.
- 1Backtesting
Testing ideas
Backtesting: How to Test a Strategy on Historical Data
- 2Walk-Forward
Out-of-sample
Walk-Forward Analysis: Validating Strategies Across Time
- 3Overfitting
Curve-fitting
Overfitting in Trading: Why Great Backtests Often Fail Live
- 4Look-Ahead Bias
Future leak
Look-Ahead Bias: Why Backtests Use Data You Couldn't Have
- 5Survivorship
Missing losers
Survivorship Bias: Why Backtests Overstate Returns
- 6Signal Decay
Alpha fades
Signal Decay: How Trading Edge Erodes Over Time
- 7GARCH
Vol modeling
GARCH Volatility Modeling: Forecasting Time-Varying Market Risk
- 8Cointegration
Pairs basis
Cointegration Engle Granger Johansen: Pairs Trading Foundation
- 9Kalman Filter
State estimation
Kalman Filter Finance: Tracking Time-Varying Hedge Ratios
- 10TCA
Cost analysis
Transaction Cost Analysis TCA: Proving Best Execution Quarter by Quarter
- 11Market Impact
Moving the price
Market Impact Model: Estimating Trade Cost Before Execution
- 12Shortfall
Implementation cost
Implementation Shortfall: The Honest Execution Scorecard