An Efficient Implementation of the Backtesting of Trading Strategies

Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3758)


Some trading strategies are becoming more and more complicated and utilize a large amount of data, which makes the backtesting of these strategies very time consuming. This paper presents an efficient implementation of the backtesting of such a trading strategy using a parallel genetic algorithm (PGA) which is fine tuned based on thorough analysis of the trading strategy. The reuse of intermediate results is very important for such backtesting problems. Our implementation can perform the backtesting within a reasonable time range so that the tested trading strategy can be properly deployed in time.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  1. 1.Faculty of Information TechnologyUniversity of TechnologySydneyAustralia

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