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Event-Driven Backtesting in HFT: Replay Every Tick, Expose Every Trading Flaw
HFT Event-Driven Backtesting: Replay Every Tick, Expose Every Trading Flaw Introduction: Why a Profitable Backtest Can Fail in Live Trading A high-frequency trading strategy may generate attractive historical returns, maintain a high win rate and appear statistically robust—yet lose money when deployed in a live market. The reason may not be the trading signal itself. […]
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