AI engineering glossary · Time series recsys
What is backtesting?
Backtesting: Evaluating a forecasting or trading method by replaying it on past data as if it were being used at that time, using only information available then. It estimates real-world accuracy, but is only as good as its care about leakage.
Backtesting: an example
Simulate the last 12 monthly forecasts using only earlier data each time and compare with actuals.
Related terms
More Time series recsys terms
- Bayesian personalised ranking
- Box-Jenkins method
- Calendar features
- Candidate generation
- Changepoint
- Click-through rate
- Click-through rate prediction
- Cointegration
Where you learn it
Backtesting is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.