The Algorithmic Advantage 024 – Trading Think Tank 02 – Battle of the Back-Testers
Aug 23, 2024
Join Jason Strimpel, a quantitative risk manager and tech leader, and Marsten Parker, a legendary systematic trader, as they dive into the art of back-testing in trading strategies. They explore different tools like Python and Real Test, comparing their strengths and weaknesses. The conversation highlights the critical role of understanding the mechanics behind back-testing, and they share insights on learning Python for trading success. Their discussion also emphasizes the importance of robust workflows and sanity checks to enhance trading efficiency.
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Career Journeys Into Trading
- Jason Strimpel shared his extensive career across global trading and risk management firms.
- Marsden Parker recounted his transition from classical violinist to self-taught coder and systematic trader.
Vector vs Event-based Testing
- Vector-based back testers process many symbols simultaneously, gaining speed but risking look-ahead bias.
- Event-driven back-testers are sequential, avoiding look-ahead bias but running slower.
Iterate To Find Edge
- Iterate rapidly by running many strategies and simulations to identify statistically significant edges.
- Avoid overfitting by validating with statistical evidence rather than relying solely on profits.