This is a summary of links featured on Quantocracy on Sunday, 04/23/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Constrained by capital or why rounding down is bad for you [Quant Bear]Imagine this, you have backtested a strategy adhering to all the general rules: you did proper in/out of sample testing, you have stable parameters (if the strategy has any), you didnt overfit, you account for transaction costs and slippage, everything seems good and you are ready to deploy your strategy and earn you some money. But did you check for capital constraints in your backtest?