Optimize a Portfolio using Expected Shortfall (CVaR)

Jrinne
Sat, 18 Apr 2020 16:28:20 +0000

Thank you Georg. This is a backtest correct?

Do you see any difference in something done walk forward and in an optimized backtest?

Where did you get: ticker(“SPY”) & VIX>30 & nodays>12 etc. By optimizing a backtest I assume?

In other words, was it done PIT with Walk Forward and therefore out-of-sample?

Or was it optimized in hindsight and therefore in-sample?

I appreciate your sharing this. It is a very nice backtest and worth looking at out-of-sample. But I do not think they are directly comparable.

Best,

Jim