Does Length of Backtest Make a Difference on Bias?

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I have noticed that when folks say that an algorithem is biased, they seem to focus on a year, 5 years or sometimes a 10 year timeframe (i.e. 10 Year Bull Market).  If your algorithem operates over say 30 years, does that eliminate some of the bias?  If not, then is there any time frame that eliminates the majority of bias?

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Hi R. Todd,

There is no definitive rule. In general, a longer backtest is more convincing than a shorter one. For the Alpha Streams market, we require submitted algorithms to be backtested on the most recent 5 years of data.

The Lean Report Creator produces a report at the end of each backtest, showing the algorithm's performance across different market regimes.

Best,
Derek Melchin

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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.


Update Backtest





0

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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