The red zone indicates a backtesting result that almost certainly indicates a problem with a bank’s risk model. etc Traffic light rating systems are widely used not only for VaR backtesting, but for …

Dec 25, 2020 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

Are there any good, usable tools for backtesting option strategies (or add-ons for standard packages or online-services or whatever). Please also provide infos on price and quality of the …

Feb 3, 2025 · Backtesting specifically, and any forecasting method in general, has limits and that’s perhaps the biggest challenge for traders to understand. Some traders place so much reliance …

Dec 15, 2023 · Regulators want to backtesting VaR estimates based on both Risk theoretical PnL and Actual PnL. My question is how can Backtesting of VaR be done with Actual PnL? …

Dec 1, 2019 · Difference between cross-validation, backtesting, historical simulation, Monte Carlo simulation, bootstrap replication? Ask Question Asked 6 years ago Modified 6 years ago

Jun 20, 2006 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

Jun 26, 2016 · Backtesting on historical options data Papers about backtesting option trading strategies In particular I am interested in spread trading. From these I've gathered backtesting …

Dec 27, 2022 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

Feb 25, 2022 · This question is more concerned with a high frequency TAQ-like data source than a backtesting engine (which you can write your own when you have data). In the book Trades, …