IFTA2020: Back-Testing Relative Performance and Evaluating Technical versus Macroeconomic and Corporate Research

Bloom­berg has long offe­red back-test­ing of tra­ding stra­te­gies based on tech­ni­cal indi­ca­tors (both main­stream and cus­to­mi­zed), com­ple­te with opti­miza­ti­on to find the best set­tings. Bloom­berg now extends this into two key areas:

  • Back-test tech­ni­cal tra­ding stra­te­gies in rela­ti­ve terms, e.g. pairs tra­ding or rela­ti­ve to an index or port­fo­lio (bench­mark & cus­to­mi­zed). Buy-side users can now quan­ti­fy opti­mum tra­ding stra­te­gies rela­ti­ve to actu­al port­fo­li­os, while sell-side users can offer recom­men­da­ti­ons which are careful­ly tail­o­red to their cli­ents’ invest­ment parameters.
  • Back-test tra­ding stra­te­gies using Bloomberg’s vast libra­ry of glo­bal eco­no­mic and cor­po­ra­te data. The value of macroe­co­no­mic rese­arch can final­ly be com­pared direct­ly with tech­ni­cal ana­ly­sis. Back-test equi­ty bro­kers’ ana­lyst recom­men­da­ti­ons, tog­e­ther with the impact of cor­po­ra­te acti­vi­ty (e.g. stock-splits or divi­dends), all on both an indi­vi­du­al and rela­ti­ve basis.

This pre­sen­ta­ti­on demons­tra­tes how Bloom­berg tech­ni­cal ana­ly­sis meets the prac­ti­cal needs of modern tra­ding and invest­ment, with direct com­pa­ri­son with macroe­co­no­mic rese­arch, ana­lyst recom­men­da­ti­ons and cor­po­ra­te activity.

Tim is the appli­ca­ti­on spe­cia­list in Tech­ni­cal Ana­ly­sis at Bloom­berg LP in Lon­don, whe­re he mana­ges the rapidly incre­asing demand for char­ting and data visua­liza­ti­on tools in EMEA. 

He has over 30 years’ expe­ri­ence in finan­cial mar­kets, in tra­ding, sales and rese­arch at major inter­na­tio­nal banks, inclu­ding Sta­te Street, UBS, BNP Pari­bas and Lloyds. He uses diver­se but com­ple­men­ta­ry tech­ni­cal metho­do­lo­gies, based on beha­viou­ral finan­ce, to help Bloom­berg cli­ents to ana­ly­se sen­ti­ment in all asset clas­ses and all con­di­ti­ons of vola­ti­li­ty and liquidity.

In 2018 he addi­tio­nal­ly took an MSc in Finan­cial Inves­ti­ga­ti­on, inclu­ding a dis­ser­ta­ti­on exami­ning the depen­den­cy of finan­cial mar­kets on illi­cit flows from money laun­de­ring. He pre­vious­ly took a BA in Clas­sics and is a full mem­ber of the Socie­ty of Tech­ni­cal Ana­lysts in Lon­don and of IFTA.

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