Backtesting of Algorithmic Trading Strategies, Cont’d

QuantStart has a second part to its backtesting of algorithmic trading strategies series.  This time, they discuss more nuanced aspects of creating an accurate (and thus useful) backtest.  This means including commissions and fees; slippage and latency; and market impact and liquidity.  QuantStart also explores transaction cost models, including flat or fixed cost models, and linear, piecewise linear, and quadratic transaction cost models.  Finally, they discuss common strategy backtest implementation issues, including using market vs. limit orders, and OHLC data issues.  Read all of the details here.

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