White-paper: Strategy's returns and P&L

Developing a trading strategy is an iterative process; it begins with forming few trading ideas, back-testing, and drawing conclusions or forming new ideas and starting over. This paper discusses the back-testing process of the strategy; we demonstrate the steps, issues and assumptions made during the preparation of the data sample and the calculation of the hypothesized strategy's returns. Finally, we turn our attention to risk aspect of the strategy and its application within an established trading environment with common risk management policies.

The white-paper and the supporting financial model are available on our website to all our registered users.