In the previous section, we performed one replication of a backtest. Our result looks pretty optimistic. However, is this sufficient to deduce that this is a good model? The truth is that backtesting involves a lot of research that merits literature of its own. The following list briefly covers some thoughts that you might want to consider when implementing your backtests.
Ten considerations for a backtesting model
Resources restricting your model
The resources that are available to your backtesting system limit how well you can implement your backtest. A financial model that generates signals using only the last closing price needs a set of historical data on the closing prices. A trading system that requires reading from...
