Research findings relating to anomalous equity returns should ideally be repeatable by others. Usually, only a small subset of the decisions made in a particular backtest workflow are released, which limits reproducability. Data collection and cleaning, parameter setting, algorithm development and report generation are often done with manual point-and-click tools which do not log user actions. This problem is compounded by the fact that the trial-and-error approach of researchers increases the probability of backtest overfitting. Borrowing practices from the reproducible research community, we introduce a set of scripts that completely automate a portfolio-based, event-driven backtest. Based on free, open source tools, these scripts can completely capture the decisions made by a researcher, resulting in a distributable code package that allows easy reproduction of results.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/31158 |
| Date | 18 February 2020 |
| Creators | Arbi, Riaz |
| Contributors | Gebbie, Timothy |
| Publisher | Faculty of Science, Department of Statistical Sciences |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MSc |
| Format | application/pdf |
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