In the first article on successful backtesting we discussed statistical and behavioural biases that affect our backtest performance. We also discussed software packages for backtesting,… ( Read More )
Successful Backtesting of Algorithmic Trading Strategies - Part I
This article continues the series on quantitative trading, which started with the Beginner's Guide and Strategy Identification. Both of these longer, more involved articles have… ( Read More )
Value at Risk (VaR) for Algorithmic Trading Risk Management
Value at Risk (VaR) for Algorithmic Trading Risk Management Estimating the risk of loss to an algorithmic trading strategy, or portfolio of strategies, is of… ( Read More )
Should You Build Your Own Backtester?
About This Post The post is suitable for those who are beginning quantitative trading as well as those who have had some experience with the… ( Read More )
Money Management via the Kelly Criterion
Risk and money management are absolutely critical topics in quantitative trading. We have yet to explore these concepts in any reasonable amount of detail beyond… ( Read More )
Sharpe Ratio for Algorithmic Trading Performance Measurement
When carrying out an algorithmic trading strategy it is tempting to consider the annualised return as the most useful performance metric. However, there are many… ( Read More )
Continuous Futures Contracts for Backtesting Purposes
Brief Overview of Futures Contracts Futures are a form of contract drawn up between two parties for the purchase or sale of a quantity of… ( Read More )
Research Backtesting Environments in Python with pandas
Backtesting is the research process of applying a trading strategy idea to historical data in order to ascertain past performance. In particular, a backtester makes… ( Read More )
How to make your own trading bot
Foreword I’m certainly not a great programmer, but writing this project taught me a lot (and kept me occupied). Most of my code were done… ( Read More )