Timeline for How to generate synthetic FX data for backtesting?
Current License: CC BY-SA 3.0
6 events
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| Aug 21, 2011 at 15:31 | comment | added | JeremyKun | Right. That's the point of my question. How can I generate synthetic streams of data that are realistic to a reasonable degree, but have potentially never happened with exactly a particular set of parameters before? What if I want to plan for a European financial crisis? I can't very well look into history for that, but it's happening now. | |
| Aug 21, 2011 at 3:14 | comment | added | G__ | Indeed, but then you get into the realm of just making up data. How do you know that your scenario is possible? You can certainly invent a scenario, but it's going to miss "realistic" nuance and you don't really know where it lies in the true probability distribution, other than being pretty far down one tail (if nothing similar has happened before in historical data) | |
| Aug 20, 2011 at 23:20 | comment | added | JeremyKun | That's not the point. Just because a scenario hasn't happened before doesn't mean it can't happen in the future. Wouldn't you want your strategy to work in such cases too? | |
| Aug 17, 2011 at 22:26 | comment | added | G__ | If you can't find any examples, then how do you know your trend is a realistic scenario? | |
| Aug 17, 2011 at 22:05 | comment | added | JeremyKun | So what if I can't easily find the particular trend I want to model in historical data? | |
| Aug 17, 2011 at 18:53 | history | answered | G__ | CC BY-SA 3.0 |