Recent Content by nijshar28

  1. What do you do with your missing data?

    Hey. I feel this is a really informative response. I did not realize such stocks continue trading OTC after delisting. Do you know what happens...
    Post by: nijshar28, Jun 27, 2020 in forum: Strategy Building

  2. What do you do with your missing data?

    Hey. Thanks for your input. I think these approaches may work great for some applications. However, for backtesting, specifically, I think...
    Post by: nijshar28, Jun 26, 2020 in forum: Strategy Building

  3. What do you do with your missing data?

    I see your point. I cannot calculate my signal with NaNs present though. So that unfortunately is a non-starter. The 0 price fill has the...
    Post by: nijshar28, Jun 25, 2020 in forum: Strategy Building

  4. What do you do with your missing data?

    Hey. Thanks for your input. I only trade stocks. Not sure if your concern about not knowing what the current price is is only relevant to...
    Post by: nijshar28, Jun 25, 2020 in forum: Strategy Building

  5. What do you do with your missing data?

    I wonder how everyone handles missing data during strategy development. Here, I mostly refer to the EOD close data that is missing due to the...
    Thread by: nijshar28, Jun 25, 2020, 18 replies, in forum: Strategy Building

  6. Why is my backtest overly optimistic?

    UPDATE: The unrealistic performance I saw was due to a form of look-ahead bias that arose from subtle differences between my backtesting and...
    Post by: nijshar28, Jun 23, 2020 in forum: Strategy Building

  7. Why is my backtest overly optimistic?

    Hey. So I was just going over my forward / backtesting results from today. I noticed that at least today the execution played a big role in the...
    Post by: nijshar28, Jun 22, 2020 in forum: Strategy Building

  8. Why is my backtest overly optimistic?

    It certainly seems so. I don't get how the system can be overfitted so badly though, given that I am backtesting in a walk-forward fashion. I...
    Post by: nijshar28, Jun 22, 2020 in forum: Strategy Building

  9. Why is my backtest overly optimistic?

    I also think it can be survivorship bias of some kind, as I do some extensive data cleaning and exclude some companies from trading based on...
    Post by: nijshar28, Jun 20, 2020 in forum: Strategy Building

  10. Why is my backtest overly optimistic?

    20 bps on each transaction, so probably 40 total. Isn't the spread kind of irrelevant since when live trading I will be using auction orders that...
    Post by: nijshar28, Jun 20, 2020 in forum: Strategy Building

  11. Why is my backtest overly optimistic?

    I do not know. I don't have intraday data, so it would be hard for me to look into. It is not uncommon for these companies to have wide spreads...
    Post by: nijshar28, Jun 20, 2020 in forum: Strategy Building

  12. Why is my backtest overly optimistic?

    Yes! That's what I have been attempting for the past couple of weeks. It was somewhat informative, and I uncovered a few minor issues this way but...
    Post by: nijshar28, Jun 20, 2020 in forum: Strategy Building

  13. Why is my backtest overly optimistic?

    I would have to get back to you on that. But if I remember correctly adding .002 was significant (not sure about destroys through). Is there a...
    Post by: nijshar28, Jun 20, 2020 in forum: Strategy Building

  14. Why is my backtest overly optimistic?

    Not sure I understand. In my backtest I use either the Open, or the Close trade price I have for that day. I don't have Bid / Ask historical...
    Post by: nijshar28, Jun 20, 2020 in forum: Strategy Building