Backtesting and Performance Evaluation in Quantitative Trading: Developing and Validating Robust Trading Algorithms
Steven Johnson
Paperback
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This book offers a thorough and practical guide to building, testing, and refining algorithmic trading strategies. Covering every step from data acquisition and preprocessing to backtesting, optimization, and performance evaluation, it equips readers with the tools needed to design robust, data-driven trading systems. Grounded in statistical analysis, mathematical modeling, and computational techniques, the text demonstrates how quantitative methods can be effectively applied to real-world markets. It tackles essential topics such as risk management, transaction costs, market impact, and regulatory concerns-providing a comprehensive view of the complexities in modern trading. Designed for both professionals and researchers, this book balances theory with hands-on insights, presenting a clear framework for validating trading algorithms with rigor and precision. Whether you're building your first strategy or refining a sophisticated system, this is an essential reference for developing resilient and high-performing trading models in today's fast-paced financial environment.