Economic Calendar Backtesting With Time-Gated Event Disclosure
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Solution Overview
Problem
Traditional backtesting methodologies fail to seamlessly integrate economic event data into the simulation process, leading to inaccurate assessments of trading strategies due to the lack of real-time information disclosure and inefficient data management, which can result in incomplete or misleading performance evaluations.
Innovation Solution
A system that dynamically controls the display of economic event data based on simulation time, retrieving comprehensive event data upfront and using client-side processing to selectively reveal or hide event values, thereby reducing network traffic and improving simulation accuracy and efficiency.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Loss of information
If traditional backtesting methods display entire economic event data prior to the event taking place within the backtesting time frame, then users can access complete information for analysis, but the simulation accuracy deteriorates because users gain premature knowledge they would not have in real-world trading
Solution Approach 1:
The system retrieves comprehensive economic event data upfront before the backtesting session begins, storing it in the user device's memory. This preliminary data retrieval allows the system to have all event information available locally without displaying future events' actual values during the simulation, thus maintaining simulation accuracy while ensuring data completeness for post-analysis
Solution Approach 2:
The system selectively reveals or hides portions of economic event data based on the current simulation time. At any given moment during backtesting, only event data corresponding to past or current time is displayed with actual values, while future events show placeholder values. This local quality approach ensures that information availability matches what would be accessible in real-world trading at each timestamp
2Loss of energy
If the system retrieves comprehensive economic event data upfront and uses client-side processing, then network traffic and server load are reduced, but the device complexity increases due to client-side data management requirements
Solution Approach 1:
The system extracts economic event data from the server environment and transfers it to the user device's local memory before the backtesting session starts. By taking out the data retrieval operation from the server and performing it upfront on the client side, the system eliminates continuous network requests during backtesting, reducing network traffic and server load while placing data management responsibility on the client device
Solution Approach 2:
The user device performs self-service by locally storing and managing comprehensive economic event data in its own memory, and autonomously controlling the display of event values based on simulation time without requiring continuous server communication. This self-service approach reduces dependency on server resources and network infrastructure
3Measurement precision
If manual searching and reviewing of economic events is required, then data accuracy can be verified, but time consumption increases significantly
Solution Approach 1:
The system provides automatic feedback by displaying economic event data in real-time synchronization with the backtesting simulation. As the simulation time progresses, the system automatically reveals event actual values when the simulation reaches those timestamps, eliminating the need for manual searching while maintaining data visibility and verifiability throughout the backtesting process
Data Source
AI summary
Disclosed herein is a system comprising a processor and a memory. The memory stores instructions causing the processor to: generate a backtesting view on an output for a backtesting session comprising a historic market instrument, the backtesting view having a first simulation time; retrieve economic events data comprising at least one economic event having event properties, the event properties including an event timestamp and an event value, the event timestamp being subsequent to the first simulation time; display an economic calendar comprising an economic event item in an economic calendar drawer of the backtesting view, the economic event item having an actual value label having a value placeholder; advance the first simulation time to a second simulation time at or after the event timestamp; and cause the output to show the event value for the actual value label and not show the value placeholder for the actual value label.