Timeline for How to generate synthetic FX data for backtesting?
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 16, 2016 at 16:20 | answer | added | Peter Cotton | timeline score: 0 | |
| Aug 17, 2011 at 18:53 | answer | added | G__ | timeline score: 0 | |
| Aug 16, 2011 at 13:30 | history | edited | Tal Fishman | CC BY-SA 3.0 |
changed title
|
| Aug 15, 2011 at 22:24 | history | tweeted | twitter.com/#!/StackQuant/status/103230698718105600 | ||
| Aug 15, 2011 at 16:16 | answer | added | babelproofreader | timeline score: 1 | |
| Aug 15, 2011 at 14:37 | answer | added | Tal Fishman | timeline score: 7 | |
| Aug 15, 2011 at 4:31 | comment | added | JeremyKun | So yes, maybe I want the data to be so simplistic that any reasonable strategy should beat it, but even so I want to model a real market as closely as possible... | |
| Aug 15, 2011 at 4:30 | comment | added | JeremyKun | Beating a fake market is a problem, hence my interest in existing research. You're right, I should and do test on live data from a broker as well. The problem is that live data takes time, and I can't control it. In addition to live testing, I want to have a suite of unit tests to run my strategy against, to serve as a sanity check that even in the ideal cases my strategy makes profit. Ideally, I would check a large number of cases with varying parameters. I can't guarantee that all such movements show up in live data, and historical data is unclean in addition to having the same problem. | |
| Aug 15, 2011 at 1:46 | comment | added | strimp099 | You could use a stochastic process with a drift and volatility term. Perhaps an interest rate model such as Vasicek that has mean reversion, ES-VJ++ which is Vasicek with jumps, Hull-White, Black-Derman-Toy, etc. etc. The problem of course is that your trading algorithms (should) quickly identify the Guassian (or otherwise) assumptions from the model and beat the "market". Why not try sim trading with a broker that will give you live data? I have not seen writings on synthetic trading data. | |
| Aug 15, 2011 at 0:12 | history | asked | JeremyKun | CC BY-SA 3.0 |