Backtesting and Theoretical Performance
It’s been a long and, hopefully, interesting – although difficult at times – journey. It took us ten chapters to get familiar with all the essentials of market structure and the key concepts that create the foundation of systematic and algo trading. Now, we have approached the conclusion of this entire book. It’s time to bring all the pieces together and start developing our first trading application that can be used in both research and production.
We are going to develop a universal prototype that you will be able to use and reuse by just re-writing some parts without modifying the entire structure. We will trace all the paths from receiving a tick to placing an order – while checking the consistency of all our actions. We will learn how to keep parts of the trading application synchronized and see why it’s so important to do so. And finally, we will collect some very basic statistics of a sample...
