バックテストに代わるクオンツ戦略の新しい検証方法

抄録

This article introduces a new verification method of quant model strategies as an alternative to back testing. New quant strategies will always suffer from a "chicken and egg" problem, finding initial investors who are afraid of the phenomenon that the new strategy, with good looking back test results, will sometimes fail in real investment; "betrayal of the back test". This article proposes a concept of "forward test" and "millennium test" as new tools to avoid the "betrayal of the back test" and to evaluate the forecasting capability of the new quant model. It also discusses a real application of the forward test and millennium test under the new quant strategy, displaying the strategy's capability to forecast and generate positive returns over time.