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Linear Regression backtesting - Is it possible?


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Linear Regression backtesting - Is it possible?

  #1 (permalink)
emanon
los angeles, California, USA
 
Posts: 8 since Aug 2014
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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)
colion
Asheville, North Carolina
 
Posts: 24 since Sep 2010
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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)
emanon
los angeles, California, USA
 
Posts: 8 since Aug 2014
Thanks Given: 2
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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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Last Updated on August 18, 2014


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