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Hi, I would like to know if QuantConnect provides any features for performing statistical tests for data quality checks and risk analysis. Also, I want to know if the data QC provides already has neutralized features, because a lot of backtests do well but have overfitting problem. Thanks.
Best,
Manav
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Louis Szeto
Hi Manav
We only provide raw data from our data vendors. It would grant users the largest extent of freedom to clean, process, and exploit desired features, including the tail risk analysis you were seeking. You may implement your own logic and libraries to do the above task, and we do not have any recommended way to do so.
We include the probabilistic Sharpe Ratio which aids in overfitting analysis, but based on this reason, we cannot provide deflated Sharpe Ratio. We recommend going through this research guide to establish a strategy with the least overfitting behavior.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Manav Trivedi
Thanks Louis, your help is much appreciated.
Manav Trivedi
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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