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Back-testing: A Useful Tool or “Financial Charlatanism”?

October 6, 2016 @ 5:30 am - 7:30 pm

Venue:

465 Davis Ct
San Francisco, CA 94111
(415) 981-7824
Get directions

Speaker: Dan Debartolomeo, President & Founder, Northfield Information Service, Inc.

Topic: Back-testing: A Useful Tool or “Financial Charlatanism”?

Abstract: Back-testing is the widely used practice of simulating an algorithmic investment strategy. While essentially everyone involved in quantitatively driven investment methods conducts back-tests, it is widely accepted that simulated investment results achieved “in sample” are at best only a very weak indication of results to be expected in “out of sample” experience. In this presentation, we will describe the causes for the minimal validity of back-tests, and suggest methods to mitigate the problems. We will focus on material from seminal studies by Kahn and Rudd (1995) on the relationship of past and future performance, Kahn (1997) on common statistical errors in investment tests, and diBartolomeo (1999) on the conceptual and philosophical limitations of back-tests. The final portion of the presentation will be devoted to a detailed exposition of how practitioners can limit the risk of “overfitting”, based on the mathematical framework of Bailey, Borwein, de Prado and Zhu (2014).

Speaker Bio: Mr. diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. He sits on boards of numerous industry organizations include IAQF and CQA, and is a director and past president of the Boston Economic Club. His publication record includes thirty books, book chapters and research journal articles. In addition, Dan is a Visiting Professor at Brunel University and has been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts.

REGISTRATION

Use the eventbrite link below to register for the meeting ($30) or to purchase annual membership ($60).

QWAFAFEW members who have already paid their $60 2016 dues do not need to register. 
 
The link is valid only before the meeting.
 
San Francisco QWAFAFEW Steering Committee
Jim Quinn, portfolio manager at CalPERS – SF chapter chairman
Members (Alphabetical Order)
Ralph Goldsticker, Senior Investment Strategist at Goldsticker Investment Strategy
Robert Maxim, Duff & Phelps
Jason Ribando, RS Investments
Irene Rusman, Oracle
Seth Stafford, Product Line Manager for Financial Management suite at ServiceNow
Tjisana Lewis, Intel Corp.
Walt French, Nuveen Investments


Membership & Inquiries
 
Annual membership is $60 and attendance for QWAFAFEW members is free. One time registration is $20 and covers refreshments. To be added/removed to the SF QWAFAFEW mailing list please send email to mailinglist.sf@qwafafew.org. 

For general inquiries, please send email to sanfrancisco@qwafafew.org

Details

Date:
October 6, 2016
Time:
5:30 am - 7:30 pm