November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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Backtesting
When researching an automated trading strategy for expected behavior, a key component in a good algorithmic trading research system is a good backtester. A backtester is used to simulate automated trading strategy behavior and retrieve statistics on expected PnLs, expected risk exposure, and other metrics based on historically recorded market data. The basic idea is to answer the question: given historical data, what kind of performance would a specific trading strategy have? This is built by recording historical market data accurately, having a framework to replay it, having a framework that can accept simulated order flow from potential trading strategies, and mimicking how a trading exchange would match this strategy's order ...
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