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Linear Regression backtesting - Is it possible?
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Linear Regression backtesting - Is it possible?

  #1 (permalink)
Trading Apprentice
los angeles, California, USA
 
Futures Experience: Intermediate
Platform: AMIBroker
Favorite Futures: stocks
 
Posts: 8 since Aug 2014
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Linear Regression backtesting - Is it possible?

Does anyone know if it's possible to backtest a strategy that uses Linear Regression with a lookback window of less than the entire chart?

I've played around with a linear regression channel found in the member area on the ami site for a bit, changing the way it's calculated etc, but it seems as if the backtests are not conducted bar by bar. Which would mean the channel does not move along and record buys and sells as it moves forward through the backtest data.

Is there a way to change or create this functionality?

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  #2 (permalink)
Trading Apprentice
Asheville, North Carolina
 
Futures Experience: Advanced
Platform: AmiBroker, Dynamic Trader, Metastock, FreeStockCharts, TradingView
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What code are you using? Can you plot the strategy and see buy/sell arrows (not the channel at each bar)? If so, I don't see why backtest would not work. Have you tried starting with a simpler problem of backtesting a linear regression line? Any trouble doing that?

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  #3 (permalink)
Trading Apprentice
los angeles, California, USA
 
Futures Experience: Intermediate
Platform: AMIBroker
Favorite Futures: stocks
 
Posts: 8 since Aug 2014
Thanks: 2 given, 0 received



colion View Post
What code are you using? Can you plot the strategy and see buy/sell arrows (not the channel at each bar)? If so, I don't see why backtest would not work. Have you tried starting with a simpler problem of backtesting a linear regression line? Any trouble doing that?

Sorry about the very dumb question, I wasn't thinking correctly. Of course LR is backtestable, esp when plotted as a curve rather than a line.

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