Algorithmic systems are based on backtest. However, changes can impact the market such as when the market changed to trading in fractions to decimals.
Recently we have had several changes that theoretically could impact any trading systems:
Now, we do not know how these changes might affect the behavior of the markets or even if they will. But, these events and the dates around them bear watching for any changes in structure that might invalidate or otherwise cause changes to trading systems.
Some changes that they might theoretically cause:
Ideas? What do you think?
The author is passionate about markets. He has developed top ranked futures strategies. His core focus is (1) applying machine learning and developing systematic strategies, and (2) solving the toughest problems of discretionary trading by applying quantitative tools, machine learning, and performance discipline. You can contact the author at firstname.lastname@example.org.
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