Ernie Chan on the pitfalls of backtesting

Nice overview from a practitioner on potential biases when backtesting. Ernie is the author of the decent algorithmic trading  intro called Quantitative Trading, which I recommend for anyone getting their head around this business. He blogs over on blogspot.

[Warning: I may be able to afford a coffee if you happen to buy the book through the link above. Please do not buy through the link above if you don’t believe in that kind of stuff.]

3 Responses to “Ernie Chan on the pitfalls of backtesting”
  1. Zachary says:

    Just an FYI – your email address from your about page,, is bouncing due to Dreamhost issues.

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  1. […] as a means of validating algorithms – and the perils of assuming backtests would execute at the same prices in […]

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