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Quantitative Finance · Glossaire

Qu'est-ce que « Backtest engine » ?

Definition 11.1 Research, Data and Risk Platforms · Chapitre 11 — Backtest-Engine Architecture

A backtest engine is the platform component that runs a strategy against historical or simulated markets at a chosen fidelity level through one strategy interface, reads its data through a data-access layer, records what the strategy saw and did in one event model, and stores every run with the identity of its code, data, parameters and seed.

The engine’s architecture. One strategy object runs at any level; each level’s adapter translates between the engine’s context and one of the firm’s backtesters, which are wrapped and not edited. Data come through the data-access layer with a content hash, and every run lands in the results store with its manifest.
Figure 11.1. The engine’s architecture. One strategy object runs at any level; each level’s adapter translates between the engine’s context and one of the firm’s backtesters, which are wrapped and not edited. Data come through the data-access layer with a content hash, and every run lands in the results store with its manifest.
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