Yes, but if not for backtesting, where would prominent quants get material for their endless self congratulating white papers from?
Insightful point about HFT. In my view it’s actually a benefit — the inaccuracy of your backtest means that you treat the bt as one more tool for research rather than as the golden source, which is where it belongs even for longer horizon strategies.https://twitter.com/lightspringfox/status/1422420756630151171 …
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Thanks. Twitter will use this to make your timeline better. UndoUndo
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This fox gets it
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This fox hopes to one day achieve some fraction of what you’ve built
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It’s also easy to know this, but assume it doesn’t apply to you because you are a small part of the market. Then you are rudely awakened in production by how sensitive your counterparties really are to that little order.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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