OHLCV

12. References

References··Updated ·backtesting, bt-series, references, bibliography

  1. Almgren, R., & Chriss, N. (1999). Optimal execution of portfolio transactions. Journal of Risk, 3(2), 5–39.

  2. Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.

  3. Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22.

  4. Bailey, D. H., Borwein, J. M., Lopez de Prado, M., & Zhu, Q. J. (2014). Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance. Notices of the American Mathematical Society, 61(5), 458–471.

  5. Bailey, D. H., Borwein, J. M., Lopez de Prado, M., & Zhu, Q. J. (2017). The probability of backtest overfitting. Journal of Computational Finance, 20(4), 39–69.

  6. Bailey, D. H., & Lopez de Prado, M. (2014). The deflated Sharpe ratio: Correcting for selection bias, backtest overfitting, and non-normality. The Journal of Portfolio Management, 40(5), 94–107.

  7. Baltussen, G., van Bekkum, S., & Da, Z. (2019). Indexing and stock market serial dependence around the world. Journal of Financial Economics, 132(1), 26–48.

  8. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18.

  9. Bogousslavsky, V., & Muravyev, D. (2023). Who trades at the close? Implications for price discovery and liquidity. Journal of Financial Markets, 66.

  10. Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. The Quarterly Journal of Economics, 108(4), 905–939.

  11. Carver, R. (2023). Advanced futures trading strategies: 30 fully tested strategies for multiple trading styles and time frames. Harriman House. See also the pysystemtrade framework and Carver’s blog, https://qoppac.blogspot.com, on back-adjusted prices and the denominator used for percentage returns.

  12. Chordia, T., Subrahmanyam, A., & Tong, Q. (2014). Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? Journal of Accounting and Economics, 58(1), 41–58.

  13. Concretum Group. (2026). Can you trust your intraday database? Concretum Group Substack. https://concretumgroup.substack.com/p/can-you-trust-your-intraday-database

  14. Cont, R., Stoikov, S., & Talreja, R. (2010). A stochastic model for order book dynamics. Operations Research, 58(3), 549–563.

  15. Dimson, E., Marsh, P., & Staunton, M. (2026). UBS global investment returns yearbook 2026 (summary edition). UBS.

  16. Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465.

  17. Fama, E. F., & French, K. R. (2021). The value premium. The Review of Asset Pricing Studies, 11(1), 105–121.

  18. French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55–69.

  19. Garman, M. B., & Klass, M. J. (1980). On the estimation of security price volatilities from historical data. The Journal of Business, 53(1), 67–78.

  20. Goldstein, M. A., & Kavajecz, K. A. (2000). Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE. Journal of Financial Economics, 56(1), 125–149.

  21. Hansen, P. R. (2005). A test for superior predictive ability. Journal of Business & Economic Statistics, 23(4), 365–380.

  22. Harvey, C. R., Liu, Y., & Zhu, H. (2016). …and the cross-section of expected returns. The Review of Financial Studies, 29(1), 5–68.

  23. Hasbrouck, J. (2003). Intraday price formation in U.S. equity index markets. The Journal of Finance, 58(6), 2375–2400.

  24. Ilmanen, A., Israel, R., Lee, R., Moskowitz, T. J., & Thapar, A. (2021). How do factor premia vary over time? A century of evidence. Journal of Investment Management, 19(4).

  25. Jacobs, H., & Müller, S. (2020). Anomalies across the globe: Once public, no longer existent? Journal of Financial Economics, 135(1), 213–230.

  26. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91.

  27. Jorion, P., & Goetzmann, W. N. (1999). Global stock markets in the twentieth century. The Journal of Finance, 54(3), 953–980.

  28. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263–291.

  29. Kurov, A., Wolfe, M. H., & Gilbert, T. (2021). The disappearing pre-FOMC announcement drift. Finance Research Letters, 40.

  30. Lo, A. W. (2002). The statistics of Sharpe ratios. Financial Analysts Journal, 58(4), 36–52.

  31. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The Review of Financial Studies, 1(1), 41–66.

  32. Lopez de Prado, M. (2018). Advances in financial machine learning. John Wiley & Sons.

  33. Lucca, D. O., & Moench, E. (2015). The pre-FOMC announcement drift. The Journal of Finance, 70(1), 329–371.

  34. McLean, R. D., & Pontiff, J. (2016). Does academic research destroy stock return predictability? The Journal of Finance, 71(1), 5–32.

  35. Parkinson, M. (1980). The extreme value method for estimating the variance of the rate of return. The Journal of Business, 53(1), 61–65.

  36. Pesaran, M. H., & Timmermann, A. (2007). Selection of estimation window in the presence of breaks. Journal of Econometrics, 137(1), 134–161.

  37. Quantreo. (2025). Stop trusting your backtests until… Quantreo Newsletter. https://www.newsletter.quantreo.com/p/stop-trusting-your-backtests-until

  38. Schwert, G. W. (2003). Anomalies and market efficiency. In G. M. Constantinides, M. Harris, & R. M. Stulz (Eds.), Handbook of the economics of finance (Vol. 1B). Elsevier.

  39. White, H. (2000). A reality check for data snooping. Econometrica, 68(5), 1097–1126.

  40. Wiecki, T., Campbell, A., Lent, J., & Stauth, J. (2016). All that glitters is not gold: Comparing backtest and out-of-sample performance on a large cohort of trading algorithms. The Journal of Investing, 25(3), 69–80.

  41. Working, H. (1960). Note on the correlation of first differences of averages in a random chain. Econometrica, 28(4), 916–918.