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RupeeCase Learn/Path 19/Intermediate

Algo, HFT and Backtesting

India's retail algo rules in practice, HFT against slower styles, microstructure, execution, honest backtests, overfitting and the deflated Sharpe ratio.

  • 16modules
  • 172 minof reading
  • 30question path test
  • Freewith a certificate
Start at 19.1See the stops

01The line

16 stops, 16 live.

A backtest is a claim, not a result. The rules SEBI set for retail algos, how execution and speed change outcomes, and the tests that separate a system from a lucky curve.

0of 16 done on this device

  1. 19.1What a backtest is, and five biases that ruin itA backtest knows how the story ended. Five ways that knowledge leaks into a test, and a guard for each9 min
  2. 19.2Strategy metrics: CAGR, Sharpe, Sortino, drawdown and expectancyOne number never describes a record. Five measures, each with a job and a blind spot, on dated NSE closes9 min
  3. 19.3HFT, MFT and LFT comparedThree speeds of trading, and the one comparison that sorts them: the move you can expect against the bill to trade it10 min
  4. 19.4Colocation, latency and fairness: NSE's historyA case about who gets the data first. The orders, read as they are dated, and what a millisecond of Nifty movement is worth11 min
  5. 19.5Building a compliant retail algoThe framework as the circulars set it, turned into an architecture, with one model of why your own risk layer sets the size10 min
  6. 19.6Backtesting options on Indian dataThe chain, the lot, the expiry regime and the costs all carry a date. Four weekly trades show how little four trades say11 min
  7. 19.7Walk forward and out of sample testingFit on one stretch, trade the next, slide forward. Four test windows from India's data show what each fold meets10 min
  8. 19.8Monte Carlo and bootstrap of trade resultsReplay the same trades in a different order and the worst fall moves. A resample still cannot show a loss it never held10 min
  9. 19.9Microstructure models: spreads, informed trading and price impactA quote pays for three things. Three models pull them apart, and one daily file cannot11 min
  10. 19.10Market making: inventory and quotingA quote is a price for risk. The model sets its centre by inventory and its width by volatility, and the charges decide whether it pays11 min
  11. 19.11Optimal execution and market impactTrade fast and you pay impact; trade slowly and you carry risk. A schedule is a chosen exchange rate between the two12 min
  12. 19.12HFT economics and the latency raceBeing first wins the whole prize, so every firm pays for speed. The model shows where the profit goes, and the circulars show India's answer11 min
  13. 19.13Backtest overfitting: deflated Sharpe, PBO and multiple testingThe best of many noisy rules looks like skill. Count the trials, deflate the Sharpe and ask how long the history must be11 min
  14. 19.14Financial machine learning done carefullyThe model is rarely the weak point. The labels, the cuts of the data and the count of tries are12 min
  15. 19.15Expiry day market integrity: a SEBI interim order, FutEq limits and surveillanceAn interim order is an allegation with a right of reply. Read it beside the position limits and settlement rules that followed, in date order12 min
  16. 19.16Capstone: a research note on an Indian derivatives questionOne question, one dated dataset, one method and an honest list of limits. The rubric is public so you can mark your own note first12 min, path test
  17. 10.3Algo trading in India: what is allowed for retailTaught in module 10.3, Systematic Execution in India: APIs, Algos & SEBI Rules11 min
  18. 10.1NSE microstructure: order book, tick size, auctions and impact costTaught in module 10.1, How Orders Actually Work: Market Microstructure India14 min
  19. 10.1Orders and execution: limit, market protection, slicing, VWAP and TWAPTaught in module 10.1, How Orders Actually Work: Market Microstructure India14 min

02Outcomes

What you will be able to do.

  • 01Say what SEBI's retail algo framework asks of a broker and a user
  • 02Name the biases that flatter a backtest, and how to remove them
  • 03Run a walk forward test and read its out of sample result
  • 04Explain why more parameters tried means a higher bar for a Sharpe ratio

03Certificate

Pass the path test.
Keep the proof.

  1. 1Read the modules and try each quick check (optional)A pass gives that module's own certificate
  2. 2Take the 30 question path test21 correct to pass, drawn from 240 questions
  3. 3Get the certificateWith an ID and a QR code
Jump to the path test About the certificates

04Questions

About Path 19.

What does Path 19, Algo, HFT and Backtesting, cover?

India's retail algo rules in practice, HFT against slower styles, microstructure and execution, honest backtests, walk forward testing, overfitting and the deflated Sharpe ratio.

Can a retail investor run an algo in India?

Yes, through a broker under SEBI's retail algo framework, fully in force from 1 Apr 2026. Module 10.3 covers the rules; this path covers building and testing a system within them.

Does a good backtest mean a strategy works?

No. A backtest is a claim about the past. The path covers the biases that flatter it and the out of sample tests that separate a system from a lucky curve.

Explore next

Where to go next.

Before this pathPath 12: Derivatives Basics and RulesBeginner, 9 modules Pillar guideDerivatives and Quant115 modules F&O on RupeeCaseHedging only, in developmentProtection for a portfolio you own, by a published rule

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.