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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

Adjusting expected performance for backtester bias

We've looked at a lot of possible avenues for finding and fixing issues in the simulation and historical market data playback framework. If we are still observing differences in trading strategy performance in live markets as compared to simulations, then another possible solution to explore would be to adjust the expected performance results as obtained from simulations to account for the backtester bias.

As we discussed before, the backtester bias can be optimistic or pessimistic in nature and can be a constant bias or a bias that varies by trading strategy type, by strategy parameters, or by market conditions. If the bias can be isolated to be constant for a specific strategy type and ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content