DATASET GENERATION FOR SYSTEM BACKTESTING AND ANALYSIS

摘要

A trading strategy may be backtested using modified datasets that include simulated market data. The modified datasets may be determined from datasets that include actual or synthetic market data. Each record in the modified datasets may be based on a record in the datasets that include the actual or synthetic market data. The modified datasets may include more records than the datasets based on the actual or synthetic market data to extend the amount of information that may be used for backtesting. A trading strategy may be applied to one or more modified datasets that include the simulated market data and a result of the trading strategy may be output.

主权项

1. A computing device comprising:
a processor configured to:
receive market data representative of a market for at least one tradeable object offered at one or more electronic exchanges, wherein the market data comprises a plurality of data records in a dataset;define a base record from the plurality of data records;determine at least one offset between a first data record of the plurality of data records and a second data record of the plurality of data records;determine a modified dataset, wherein the modified dataset includes the base record and a plurality of modified data records that include simulated market data, and wherein at least one modified data record of the plurality of modified data records is based on the at least one offset determined from the first data record and the second data record of the plurality of records in the dataset; andanalyze an output of a trading strategy in response to the plurality of modified data records of the modified dataset.