14.8  Further Reading – Backtesting

For an alternative discussion of backtesting, see Campbell (2005).

For some notable backtesting methodologies not discussed in this chapter, see Haas (2001), Engle and Manganelli (2004), and Ziggel et al. (2014). See also Christoffersen and Pelletier (2004), Haas (2005), and Berkowitz et al. (2011), who discuss duration-based backtesting methodologies. These are a form of exceedence independence test that assess if intervals between exceedences appear random.

Da Silva et al. (2006), Berkowitz et al. (2011) and Røynstrand et al. (2012) assesses the performance of various backtesting methodologies using actual and/or simulated P&L data.