April 2015
Intermediate to advanced
340 pages
7h 21m
English
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Chapter 9. Backtesting
A backtest is a simulation of a model-driven investment strategy's response to historical data. While working on designing and developing a backtest, it would be helpful to think in terms of the concept of creating video games.
In this chapter, we will design and implement an event-driven backtesting system using object-oriented design. We can then plot our resulting profits and losses onto a graph to help us visualize the performance of our trading strategy. Is this sufficient to deduce a good model?
There are many concerns to be addressed in backtesting, for example, the effects of transaction costs, execution latency of orders, access to detailed transactions, and quality of historical data. Notwithstanding these factors, ...
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I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.