Backtesting Session Navigation Using Time-Based Goto Jumps
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Solution Overview
Problem
Traditional backtesting methodologies are time-consuming and inefficient for navigating through historical data to view positions at important times during trading simulations, hindering quick evaluation of trading strategies.
Innovation Solution
A system and method that allows users to navigate through historical market data by selecting goto jumps, price jumps, or position close jumps within a backtesting session view, enabling rapid advancement to specific times or conditions in the simulation.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Loss of time
If traditional backtesting methodologies progress through historical data sequentially, then the backtesting simulation is complete and accurate, but the time required to view positions at important times is excessive
Solution Approach 1:
The patent implements jump navigation functionality that allows users to skip through historical data to specific time points of interest. The system provides predefined jump options (next session jump, next day open jump, next silver bullet session jump) and custom jump capabilities, enabling users to rapidly navigate to important times during backtesting simulations without sequentially processing all intermediate data points.
2Productivity
If backtesting simulations process all historical data points, then the results are comprehensive and accurate, but the speed of navigation through the data is reduced
Solution Approach 1:
The patent segments the backtesting navigation process into distinct jump types (session jumps, day open jumps, silver bullet session jumps, and custom jumps). Each jump type targets specific meaningful time points in the historical data, allowing users to divide the continuous backtesting process into discrete, analyzable segments without losing important information.
Solution Approach 2:
The system pre-calculates and stores key time point information (session opens, day opens, silver bullet sessions) during data ingestion. This preliminary processing enables rapid navigation to these pre-identified important times during backtesting, eliminating the need to sequentially process all intermediate data points while maintaining accuracy.
3Loss of time
If the backtesting system provides detailed step-by-step progression through historical data, then users can observe all market movements, but the time required to reach important positions is excessive
Solution Approach 1:
The patent introduces an intermediary navigation layer between the user and the detailed historical data. The jump navigation system acts as a mediator that rapidly transports users to important time points while preserving the option to then examine detailed market movements at those specific points, thus reducing time loss without sacrificing information quality.
Data Source
AI summary
A system is disclosed, comprising a processor and a memory. The memory stores instructions causing the processor to: generate a backtesting session view comprising a graph having a time axis and a historic instrument value axis, the view displaying a historic instrument mapped on the graph until a first simulation time; receive a first input indicative of a user selecting a jump from a goto menu, the jump being one of a next session jump, a next-day open jump, and a next silver bullet session jump, each jump associated with a goto option stored in the memory and having an indicator and a goto time value; advance the first simulation time until the first simulation time is equal to a next goto time value of a particular goto option having an activated indicator; and draw, in the view, the historic instrument on the graph up to the second simulation time.