back testing trading strategy
Hello,
New to the group and was wondering if anyone has tried back testing a futures trading strategy using d-wave? If so any suggestions on how to back test using historical data I would be thankful for any suggestions.
All the best, Mike
Comments
Hi Mike,
Your question is a bit ambiguous. For the financial market domain, normally you would take a set of equations or algorithms and run historical data through them and compare to past results. You could use that data to determine the returns on hypothetical investments. That approach works as long as the underlying model addressed by the equations or algorithms remains static. Drift in the model can lead to unexpected results. (Such as the catastrophic failure of a hedge fund.)
Quantum annealing (like on the D-Wave) does not necessarily make the unknowable into something knowable -- instead, it has the potential for improving the efficiency of computation.
That said, there has been some work on portfolio analysis with the D-Wave, but I am not sure if that work would be applicable to your problem domain.
Tom
Hi Tim,
Thank you so much for your response. Yes, my question is a bit ambiguous- What I hope to use d-wave for is to create a trading model.
In greater detail what I hope d-wave can do or how I would like to try and use d-wave for:
Build a trading model based on supply and demand- I would like to use 3 years of historical data to track/classify intra- day order flow to indentify patterns of imbalance to predict future direction.
If you have time would it be possible to chat to see if this is possible. Would you know who I could speak with at d-wave?
All the best,
Mike
Hi Mike,
I don't work at D-Wave Systems; I'm not sure how they arrange their consulting practices. You could perhaps use the help bar (bottom right of screen) to inquire about professional services.
Tom
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