Recent content by nijshar28

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 if I am holding a position through a broker (e.g. IB) and the company gets delisted? Does its market value go to zero? Both me and my broker forget...

Hey. Thanks for your input. I think these approaches may work great for some applications. However, for backtesting, specifically, I think there're some issues with them. Though I am not sure a better alternative exists that is also easy to implement. For backtesting, I think forward filling...

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 advantage of accurately reflecting losses on delisted holdings, which I think is the most frequent reason for the data to go missing. Sometimes it is an...

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 derivatives? My issue with forward-filling is that my algo might be trying to trade something which is not tradable at the moment.

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 fact that the company is delisted, not listed yet, or simply not trading for a period of time. I have seen some quant researchers recommend forward...

UPDATE: The unrealistic performance I saw was due to a form of look-ahead bias that arose from subtle differences between my backtesting and forward-testing procedures. After fixing the error, my signal dropped to near noise levels. Now I actually have to develop a working strategy. Thank you...

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 discrepancy between the two. In my backtest, I assume that I get filled on the open. The way I rationalize this expectation is that I can submit...

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 don't think the number of parameters is the problem. I tried reducing the number of variables and although performance decreases slightly, I still get a...

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 arbitrary rules (mktcap limits and so forth). I try to follow the same rules when paper trading. But maybe I am still missing something here. Here's my...

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 should give me the same opening/closing execution prices I use in my backtest (provided my orders aren't big enough to impact them)?

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 though, especially on the open and following corporate events.

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 I didn't quite get to an 'Aha!' moment. If I substitute the execution prices and shortlists from my forward test to my backtest, I get something...

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 rule of thumb here?

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 data. In my backtest, I assume that my order (which is <= 1% of prior days volume) will be filled at those prices. In my forwardtest, I just send market...