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Master the art of backtesting quantitative trading strategies: vectorised vs event-driven backtesters, transaction costs, slippage, and avoiding bias.
Backtesting is the process of evaluating a trading strategy's performance by running its algorithm on historical market price data, computing simulated buys, sells, profits, losses, and risk metrics.
Without rigorous backtesting, traders risk deploying flawed strategies that fail when exposed to real-world exchange mechanics.
Common culprits include unmodeled transaction fees, market impact, slippage, look-ahead bias, and overfitting (curve-fitting).