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:
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screen backtests and incorporating quintile ranks directly into screening rules.
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ranking systems.
However, I did not manage to get all the data present in the backtest report in the link above.