The Holy Grail Is Not for Sale by Dan Valcu, CFTe
If you use a trading system or are connected with system design—such as a system developer, a vendor, or are looking to purchase a system—you will want to read this. Here, we introduce how to apply forensic analysis to algorithmic trading systems. It may shed light into your trading system returns—or into the reported returns from a system you are considering using—in a bold new way.
Forensic analysis methods to detect fraudulent financial transactions can be used to flag potential inaccuracies that may occur, voluntarily or not, in algorithmic trading system design ...