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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.
01:30:08

Podcast summary created with Snipd AI

Quick takeaways

  • Understanding the fundamental mechanics of backtesting engines is essential for developing effective trading strategies and achieving accurate results.
  • The importance of user-driven development is emphasized, showcasing how feedback can refine backtesting engines like RealTest and PyQuant.

Deep dives

Backtesting Fundamentals

Backtesting is a crucial process for traders, especially in systematic trading and algorithmic trading. Understanding the fundamental mechanics behind backtesting engines is vital for developing effective trading strategies. The panelists discuss different approaches to building backtesting engines, emphasizing the importance of knowing the underlying assumptions and how data is handled in the process. They share insights into the challenges of ensuring that trades mimic live trading conditions, highlighting that a successful backtest should align closely with expected real-world performance.

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