Handling Dynamic Trading Systems
In the prior chapter, we focused mainly on how to collect unbiased, true-to-life trades from systems that made a position decision on each bar and produced a measurable return on each bar. Many trading systems, especially those that are algorithmic rather than model-based, make a decision to open a position and hold this position until a closing rule fires at some indeterminate future time. During that holding period, adjustments to the system may even be made, such as moving a trailing stop. This complicates ...
