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What is in the CIO Report for Back-testing Strategy and Prediction?

The next-30-day pricing prediction for your asset of choice will be made by automated time-series modeling. The predictions will be back-tested with automated algorithms to validate your strategy: the choice of the asset and the rigor of the automated time-series model for your choice. In the daily email report, you will find three components:

• Prediction data for your strategy: asset of choice
• Prediction chart to visualize the data for your strategy
• Back-testing your strategy and prediction, including:

  1. Size of data for automated time-series modeling
  2. Best-fit time-series model
  3. Time-series model parameters
  4. Predicted data set
  5. Observed data set
  6. Back-testing P-value of predicted v.s. observed fit test
  7. Automated GARCH model fit-test report