英文标题：
《Correctness of Backtest Engines》
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作者：
Robert L\\\"ow, Stanislaus Maier-Paape, Andreas Platen
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最新提交年份：
2015
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英文摘要：
In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-fin.TR]). Several platforms are struggling on the correctness. In this work, we discuss the problem how the correctness of backtest engines can be verified. We provide models for candles and for intra-period prices which will be applied to conduct a proof of correctness for a given backtest engine if the here provided tests on specific model candles are successful. Furthermore, we hint to algorithmic considerations in order to allow for a fast implementation of these tests necessary for the proof of correctness.
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中文摘要：
近年来，出现了一些交易平台，它们提供了一个回溯测试引擎，用于计算自我设计的交易策略在基础数据上的历史表现。然而，正如Maier Paape和Platen（参见arXiv:1412.5558[q-fin.TR]）所示，构建一个正确工作的回溯测试引擎是一项微妙的任务。有几个平台在正确性上苦苦挣扎。在这项工作中，我们讨论了如何验证回溯测试引擎的正确性的问题。我们提供蜡烛模型和期内价格模型，如果此处提供的特定模型蜡烛测试成功，这些模型将用于对给定的回溯测试引擎进行正确性证明。此外，为了快速实现这些验证正确性所需的测试，我们还提示了算法方面的注意事项。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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