- It is essential that traders not only develop customized algorithms
so that expected transaction costs (e.g., market impact and timing
risk) are consistent with their overall investment objectives,but
that they also analyze and compare alternative algorithms to
determine the most appropriate algorithm.
Understanding the Profit and Loss Distribution of Trading Algorithms
http://www.arabictrader.com/arabictrader_storage_server/application/2009/05/28/pdf/v202/07A60519-8570-744D-72D5-2C1D0C69349D.pdf
The Evaluation
and Optimization
of Trading
Strategies
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