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Backtesting Cheatsheet

The document outlines a backtesting system using a deterministic discrete event simulation (DES) engine with a structured flow from data to portfolio management. It highlights key properties such as determinism and reproducibility, along with performance enhancements like vectorization and caching. Additionally, it mentions scalability through parallel workers and storage options for input and output data.

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jowowo2876
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3 views1 page

Backtesting Cheatsheet

The document outlines a backtesting system using a deterministic discrete event simulation (DES) engine with a structured flow from data to portfolio management. It highlights key properties such as determinism and reproducibility, along with performance enhancements like vectorization and caching. Additionally, it mentions scalability through parallel workers and storage options for input and output data.

Uploaded by

jowowo2876
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Backtesting System Cheat Sheet

• Core: Deterministic DES engine (event loop)

• Flow: Data → Event → Strategy → Execution → Portfolio

• Events: Market, Signal, Order, Fill

• Key Properties: Deterministic, reproducible, ordered

• Performance: Vectorization, feature caching, memory execution

• Scaling: Parallel workers (not inside loop)

• Storage: CSV/DB input, results DB output

• Interview Line: Deterministic DES, scalable orchestration

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