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Why HFT Backtests Fail: Queue Position, Latency and the Hidden Costs of High-Frequency Trading
Why HFT Backtests Fail: Queue Position, Latency and the Hidden Costs of High-Frequency Trading Introduction: The Difference Between a Profitable Backtest and a Profitable Trading System A high-frequency trading strategy can generate impressive historical returns, display an attractive Sharpe ratio and maintain a controlled drawdown—yet lose money when deployed in a live market. Why? Because […]
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