Journal of Investment Strategies
ISSN:
2047-1238 (print)
2047-1246 (online)
Editor-in-chief: Ali Hirsa
Need to know
- We provide unit tests to be able to ensure correctness of backtest software.
- Correctness is ensured for order setups like limit buy order combined with stop loss.
- We find all possible backtest results on candle data for non-unique situations.
- We hint to algorithmic considerations to allow for a fast implementation of unit tests.
Abstract
In recent years, several trading platforms have appeared that provide a backtest engine to calculate the historic performance of self-designed trading strategies on underlying candle data. The construction of an accurate backtest engine is, however, a subtle task, as shown in previous work by Maier-Paape and Platen. Several platforms are struggling to achieve accuracy. We discuss how the accuracy of backtest engines can be verified and provide models for candles and intra-period prices, which may be applied to conduct a “proof of correctness” for a given backtest engine when our tests on specific model candles are successful. Further, we suggest algorithmic considerations in order to allow a fast implementation of the tests necessary for the proof of correctness.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
