Backtest question

Alphathon
#1

Hi Admin team,

Just one question regarding the backtest, do we need to consider transaction cost/rebalance penalty for the final round? Also, is Carry already considered in the back test or we need to do that ourselves?


Another thing we’d like for clarification, do we need to guarentee the annualised volatility is between 8%-12% for the out-of-sample data as well?


Thanks!

#2

No transaction cost and rebalancing penalty.

Backtest takes into the Time series of the 1y carry . You dont need to compute yourself