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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Disadvantages

The main weakness of the for-loop backtester is accuracy in relation to the market. It neglects transactions costs, transaction time, the bid and offer price, and volume. The likelihood of making a mistake by reading a value ahead of time is pretty high (look-ahead bias).

While the code of a for-loop backtester is easy to write, we should still use this type of backtester to eliminate low-performance strategies. If a strategy does not perform well with for-loop backtesters, this means that it will perform even worse on more realistic backtesters.

Since it is important to have a backtester that's as realistic as possible, we will learn how an event-driven backtester works in the following section.

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Publisher Resources

ISBN: 9781789348347Supplemental Content