Algorithmic Trading Imperative #9: Research and Backtest Strategies

With firms continuously developing their own unique algorithmic trading strategies using complex event processing (CEP) technology, how can they ensure the strategies they feed into the markets are the best ones?  For the rapid development and deployment of new strategies, testing algorithms under a range of anticipated market conditions is critical. The latest techniques use back testing environments that enable the selection and naming of a library of market sequences, such as a ‘bull market’ or ‘bear market’. These sequences can be streamed through a strategy to test how the strategy performs.

Event processing platforms often contain event storage and management technologies, such as Apama's Research Studio, which provides back testing and analysis capabilities via a TiVo®-like event replay capability that allows CEP Scenario developers to interactively explore the prospective behavior of Apama Scenarios prior to deployment.  Event data management can also support "digital forensics" operations that allow users to audit the performance of Apama strategies already in deployment.