Mastering Python for Finance - Second Edition

Resources restricting your model

The resources that are available to your backtesting system limit how well you can implement your backtest. A financial model that generates signals using only the last closing price needs a set of historical data on the closing prices. A trading system that requires reading from the order book requires all levels of the order book data to be available on every tick. This adds up the storage complexity. Other resources, such as exchange data, estimation techniques, and computer resources pose a limitation on the nature of the model that can be used.