文章阅读笔记：回测(Backtesting)模型的现状以及发展

文章：Rob Mannix, In fake data, quants see a fix for backtesting, Risk.net, May 2021.

传统回测技术

• One version of events: traditional backtesting uses only one version of history: investors test the effectiveness of a strategy by charting how it would have performed in real-world conditions – they see what already happened.
• Traditional methods of backtesting strategies is backward-looking.
• ‘New flavour’ to backtesting: make it possible to explore the market’s unknown unknowns.

合成人工数据

• Ultra-realistic ‘deep fake’ videos are common on social media platforms: videos of Tom Cruise playing golf and doing magic tricks raked up millions of views on TikTok. The clips didn’t feature Tom Cruise at all.
• The technology behind these ultra-realistic ‘deep fake’ videos has already been applied in finance: quants use it to create parallel universes of data to test investment strategies.
• Synthetic/artificial data: needs to invent alternative histories for deeper testing
• New models allow forward-looking testing: quants can input into a model the level of market volatility or features of recent price moves and ask the model to plot future paths based on those readings
• Rob Carver: “synthetic data could help in stress-testing strategies for which losses can be highly path dependent”
• Blanka Hor