Hi elitetrader,
I have coded a reliable and sufficiently realistic vectorized backtesting script. It is mostly based on quantstrat and related packages in R. I have tried to implement methods to avoid overfitting based on techniques written in papers that most of you might know. I am testing intraday (mid-frequency) strategies on several asset classes and trade the ones I like the results.
I am a fresh graduate from industrial engineering and want to get into quant trading firms. My…