Beware simulation sins

Aspect Capital’s Stephen Wood picks out the most common pitfalls in simulations of quantitative investment strategies

Stephen Wood, AspectCapital
Stephen Wood, Aspect Capital

Stephen Wood is senior product manager at Aspect Capital.

The ability to simulate the performance of a trading strategy back through time is one of the key benefits of systematic investing, yet it is a process loaded with potential hazards. Simulation makes a scientific approach to investment research possible, and enables the testing of strategies or hypotheses on a range of markets and market environments. However, while building a strategy that is profitable in simulation is deceptively easy

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: