November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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Realistically adjusting risk
In the risk management system we built in the previous section, we used static risk limits that we used for the duration of the strategy's lifetime. In practice, however, this is never the case. When a new algorithmic trading strategy is built and deployed, it is first deployed with very low-risk limits—usually the least amount of risk possible. This is for a variety of reasons, the first one being to make tests and work out software implementation bugs, if there are any. The larger the amount of new code being deployed to live markets, the greater the risk. The other reason is to make sure strategy behavior is consistent with what is expected based on historical performance analysis. It is usually monitored very ...
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