Notes: PMwR

• Backtest a strategy on different datasets
• Backtests with time-varying asset universes
• Computing profit and loss for a portfolio
• Computing positions
• Conditional rebalancing
• The effect of random noise on correlation
• Streaks in the US equity market
• Running backtests in parallel
• Path-dependent strategies
• Streaks in equity prices and bond yields
• Treasury Bond Quotes with 1/32 Fractions
• Profit/loss and position valuations over time