4 ms·
As I remember the book, they back tested quite a lot. It's just that whenever they went live with trading reality changed on 'em. Go figure.
by PorterDuff 7y ago
As I remember the book, they back tested quite a lot. It's just that whenever they went live with trading reality changed on 'em. Go figure.
- tim333 7y agoOne thing backtesting misses is the other market participants may see what you are up to in live trading and try to take advantage. That was a big factor with LTCM.
- simtel20 7y agoThey were exposed to a margin call. Trading reality changing or no, if you can get taken out by your prime broker at the end of the day, you need to account for that too and they didn't.