Method of Storing Data Used in Backtesting a Computer Implemented Investment Trading Strategy
Number of patents in Portfolio can not be more than 2000
United States of America Patent
Stats
-
N/A
Issued Date -
Oct 18, 2007
app pub date -
Nov 8, 2005
filing date -
Nov 8, 2004
priority date (Note) -
Abandoned
status (Latency Note)
Importance
Abstract
Hence, the invention is a contribution to the field of designing computer implemented systems that test how different trading algorithms work when fed historic data (`backtesting`). It teaches an efficient and effective data representation that comprises two elements. First, an object-based representation of each trading strategy; each object is instantiated as a `strategy instance`. Secondly, a pairing between any tradable instrument and any strategy instance; the pairing is called an `account`. A key advantage of the data representation is that the data in each account is held in a matrix format; these are easily and efficiently stored in standard relational databases. Further, operating the method involves large scale matrix operations, which are fast and computationally efficient within a matrix based language. Conventional approaches do not store data in a matrix format and hence fail to achieve the computational efficiency possible with the present invention.
First Claim
Family
International Classification(s)
Cited Art Landscape
Patent Citation Ranking
Recipient Email Address
Recipient Email Address
Comment
Recipient Email Address
Add to Portfolio(s)
To add this patent to one, or more, of your portfolios, simply click the add button.
This Patent is in these Portfolios:
Add to additional portfolios:
Last Refreshed On:
Changes done successfully