This paper presents a backtesting framework for a probability of default (PD) model, assuming that the latter is calibrated to both point-in-time (PIT) and through-the-cycle (TTC) levels. We claim ...

投資戦略の検証（バックテスト）は、アルゴリズムトレードの基盤となるプロセスです。 Pythonには複数のバックテストフレームワークがありますが、そのなかでも Backtesting.pyは「単一銘柄のシグナル戦略を素早く検証したい」という用途において、特に高い ...

今回はバックテストを行うためのpythonライブラリであるBacktesting.pyについて解説します。 ずっと前に公開した自前のバックテストコードではそろそろ物足りなくなってきたので最近はBacktesting.pyを使っています。 最初からこっちを使っていれば良かったん ...

This framework is designed for developing high-frequency trading and market-making strategies. It focuses on accounting for both feed and order latencies, as well as the order queue position for order ...

The Basel Accords require financial institutions to regularly validate their loss given default (LGD) models. This is crucial so banks are not misestimating the minimum required capital to protect ...

# This tutorial will show how to optimize strategies with multiple parameters and how to examine and reason about optimization results. # It is assumed you're already ...

Abstract: In portfolio theory, the investment portfolio optimization problem is one of those problems whose complexity grows exponentially with the number of assets. By backtesting classical and ...