econometrics

You have one history of market data. Your strategy was designed on that history. How do you estimate performance on data you haven’t seen? Bootstrap resampling generates synthetic histories that …

Walk-forward validation is the backbone of out-of-sample testing for trading strategies. But the choice of window type, window length, and step size introduces meta-parameters that can themselves be …

Autocorrelated returns inflate Sharpe ratios, invalidate standard significance tests, and make backtests look better than reality. This article explains why strategy returns are almost always …

A strategy built on a non-stationary signal is a strategy built on sand. This article covers the statistical tests that detect non-stationarity (ADF, KPSS, Phillips-Perron, Zivot-Andrews), explains …