- #1
rbpl
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Hello everyone, I have a homework assignment in my financial mathematics class and I don't fully understand it, so here is my problem:
I am supposed to backtest a given data set to see if a financial model works, in particular, for 30 maturity dates of the treasuries (bonds) I had to see how accurate was the arbitrary strategy. Now that I did the backtesting part in Excel, I am supposed to conduct regression analysis on my backtest.
This is the part that I don't understand, what exactly am I supposed to regress? The data from the backtest is: maturities (1,...,30) and the rate of success of the strategy for each maturity (which I found using the backtest).
What am I supposed to use for the Xi's variables and Y (for Y I'm guessing it would be the rate of success, or maybe the predicted move in the interest rates of the treasuries (predicted by the arbitrary model) or maybe the actual move in the interest rates (since it is independent)).
Thank you in advance.
I am supposed to backtest a given data set to see if a financial model works, in particular, for 30 maturity dates of the treasuries (bonds) I had to see how accurate was the arbitrary strategy. Now that I did the backtesting part in Excel, I am supposed to conduct regression analysis on my backtest.
This is the part that I don't understand, what exactly am I supposed to regress? The data from the backtest is: maturities (1,...,30) and the rate of success of the strategy for each maturity (which I found using the backtest).
What am I supposed to use for the Xi's variables and Y (for Y I'm guessing it would be the rate of success, or maybe the predicted move in the interest rates of the treasuries (predicted by the arbitrary model) or maybe the actual move in the interest rates (since it is independent)).
Thank you in advance.