by Shang-Jin Wei, Woochan Kim
Continue on SelfMadeQuant
Suggested foundations for trading research and honest backtests. Specialist prerequisites vary by paper.
Use only information available at the simulated decision time.
Separate model selection from the final evaluation.
Reconcile signals, executions, positions and P&L.
Include the costs that can erase a paper strategy.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.