Back to directoryResource
LEAN Open Source Algorithmic Trading Engine
Video
by QuantConnect
Tags
backtestingexecutionleanprogrammingyoutube playlist
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for trading research and honest backtests. Specialist prerequisites vary by resource.
Before you read
- Point-in-Time Data
Use only information available at the simulated decision time.
- Time-Ordered Train, Validation and Test Design
Separate model selection from the final evaluation.
Go further
- Positions, Trades, Fills and P&L
Reconcile signals, executions, positions and P&L.
- Financing, Borrow and Transaction Costs
Include the costs that can erase a paper strategy.
Explore a related reading path
- From trading ideas to honest backtests
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.