RESOURCES / BACKTESTING FOUNDATION

Portfolio Backtesting Glossary

The terms used in a backtest should make the decision easier to understand, not create a barrier to using the tool.

01

Backtest

A calculation of how explicit portfolio rules would have behaved over a historical data window. It is evidence about the past, not a forecast.

02

Controlled comparison

Two or more backtests where one variable changes and the remaining portfolio rules stay fixed.

03

Result consistency

A measure of whether the direction and size of a finding remain similar across different start dates, nearby parameters, and new observations.