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Backtesting a Successful Trading Algorithm

By Erik Zimerman On February 13, 2018 · 4 Comments · In The Jackal's Den, The Whiskey Room

Being one who understands something of economics, the stock market, the arts of war, high cuisine, technology and can dance a pretty mean salsa, it stood to reason that of all people, your humble Lighthouse Keeper should be able to write a decent trading bot. We have all heard how an ever increasing amount of the day-to-day market activity is dominated by Quants and their bots. With this algorithmic trading, computer programs basically buy and sell securities with lightning speeds, making decisions based on any number of measurable criteria far more quickly than any human could. Still, the trick is to know what “measurable criteria” should tell a bot to buy, hold or sell what security and how much of it. Physicists, nuclear neurosurgeon rocket scientists and PhDs of unknown types reportedly dominate this Quant world. Never one to be stymied nor overly impressed with titular authorities¹ and academic regalia, I dusted off my one of my old trading strategies I had developed and delved into the Quant world. Apparently, python was a good language to do this with, and though I get by well enough with JavaScript, VBscript, and even php, had never even seen Python. All the available [...]

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Backtesting a Successful Trading Algorithm

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