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Backtesting Essentials: Research Principles & Python Implementation

Backtesting Essentials: Research Principles & Python Implementation


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About the Book

A rigorous guide to building your own trading strategy research tools-line by line. Backtesting Essentials bridges the gap between theory and implementation, offering a practical, hands-on approach to designing custom backtesting engines in Python. With a focus on precision, statistical rigor, and transparency, this book walks you through the core principles of strategy evaluation-from the dangers of survivorship and look-ahead bias, to the nuances of transaction costs, performance metrics, and parameter optimization. You will learn: How to identify and avoid common backtesting mistakes How to build a backtesting engine from scratch using object-oriented programming How to incorporate realistic execution assumptions, including limit orders and market impact How to evaluate strategies using proper statistical inference, including Monte Carlo simulations and multiple hypothesis testing How to interpret Sharpe ratios, drawdowns, and exposure with clarity How to assess strategy robustness through walk-forward analysis and attribution techniques Written for traders, quants, and researchers, this book is not about using off-the-shelf tools-it is about understanding and constructing the tools themselves. Whether you are backtesting equity portfolios, futures, or crypto strategies, Backtesting Essentials will teach you what most platforms hide: the underlying assumptions. Includes complete Python implementations and a public GitHub repository.


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Product Details
  • ISBN-13: 9798999017710
  • Publisher: Quantitative Modelling & Research Press
  • Publisher Imprint: Quantitative Modelling & Research Press
  • Height: 229 mm
  • No of Pages: 218
  • Returnable: N
  • Sub Title: Research Principles & Python Implementation
  • Width: 152 mm
  • ISBN-10: 8999017710
  • Publisher Date: 12 Jun 2025
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 12 mm
  • Weight: 349 gr


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