In this chapter, we will use the data and functions established thus far to build a backtester to simulate the results of trading with a given strategy. We will run our simulator with a few example strategies. We will introduce many practical trading considerations as we construct sample strategies.
Recall in Chapter 5 we established the indicator and rule set for a strategy from a composite function accepting stock data, D t , and account variables, A t , to output portfolio adjustments, ΔP t , as follows where f r and f i are the rule set and indicator functions, respectively. We will ...
