Single Factor Backtests

Research
1

Hi investors and traders,

I would like to do single factor (maybe also two-factor historical backtests) as a part of my academic research.

My idea is to perform a quintile tests for each factor (in Richard Tortoriello’s style). The result should be something like this:

http://www.fatpitchfinancials.com/2395/return-on-investment-backtest/

Could you please advise me the most intelligent and time-efficient way to perform the backtests to get the results above? I’d much appreciate your help. Thank you!

Noe

PS: So far, I tried to base it on:

  • screen backtests and incorporating quintile ranks directly into screening rules.

  • ranking systems.

However, I did not manage to get all the data present in the backtest report in the link above.

2

I believe you should find what you need if, instead of doing screens based on the quintiles, you use the p123 simulation platform, which reports the other items in the table.