Backtesting & Execution

The wiki category for pages about historical strategy simulation, transaction-cost modeling, statistical inference on backtest results, and live-trading execution. See Stationary Bootstrap for the central inferential tool; this page is the category overview.

Pages in this category

• Stationary Bootstrap — block-bootstrap resampling that preserves serial dependence; the standard tool for testing Sharpe-ratio differences.

Open topics to fill out

• Event-driven vs. vectorized backtest engines (trade-offs, common pitfalls).
• Transaction-cost modeling: commission, slippage, market impact (square-root law).
• Walk-forward vs. anchored out-of-sample.
• Survivorship bias in equity universes.
• Point-in-time data: fundamentals, corporate actions, ticker changes.
• Look-ahead bias: data alignment, signal-vs-fill timing.

See also

• Stationary Bootstrap
• Time-Series Momentum — example strategy whose evaluation depends on these tools.
• Volatility Targeting — sizing layer often used in backtests.