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QuantInsti Quantitative Learning

How to Backtest a Trading Strategy That Survives Live (Event-Driven, Step by Step)

NowPress play to follow along0:00 / 7:34
Chapters4 segments · tap to seek
ticker lesson

Breakdown

0:00lesson

Backtesting Variables — simulate trading decisions with conditions

  • Variables for trading decisions
  • Simulate real-world conditions
  • Log trades in journal
  • Track entry/exit numbers
2:18lesson

Vectorized vs Event-Based Backtests — simulate real scenarios

  • Vectorized finds returns vectors
  • Event-based simulates real-world
  • Backtest as time-travel simulation
  • Time-sensitive event rules
4:29lesson

Simulate Long Call Entry — options data frame setup

  • Check for open positions
  • Create options data frame
  • Update position status
  • Calculate net premium
6:41lesson

Track P&L with Costs — include trading expenses

  • Calculate trade P&L
  • Include costs/slippages
  • Impact on real trading
  • Mark-to-market updates

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