Before revision:  We find that our backtests clearly outperform the existing backtesting procedures in the literature in terms of their size and (size-adjusted) power properties throughout all considered simulation experiments. We provide an R package for these ES backtests which is easily applicable for practitioners  .
After revision:  We find that our backtests clearly outperform the existing backtesting procedures in the literature in terms of their size and (size-adjusted) power properties throughout all considered simulations. In an empirical illustration, we apply our backtests to ES forecasts for 200 stocks of the S .