April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Improving your backtesting system
In this chapter, we looked at creating a simple backtesting system based on the daily closing prices for a mean-reverting strategy. There are several areas of considerations to make such a backtesting model more realistic. Are historical daily prices sufficient to test our model? Should intra-day limit orders be used instead? Our account value started from zero; how can we reflect our capital requirements accurately? Are we able to borrow shares for shorting?
Since we took an object-oriented approach in creating a backtesting system, how easy would it be to integrate other components in the future? A trading system could accept more than one source of market data. We could also create components that allow ...
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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.