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