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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

Strategy validation

Strategy performance in backtester requires more complexity in the backtester than just the ability to properly synchronize and play back market data for multiple trading instruments over historically available market data, which is a requirement for signal validation that we discussed in the previous section. Here, we need to go one step further and build a backtester that can actually simulate the behavior and performance of a trading strategy over historical data as if it were trading in live markets by performing matching like an exchange would.

We covered all of this in the chapter on backtesting, and it should be clear how complex building a good backtester can be. When the backtester isn't very accurate, validating ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content