I'll be using end of day options data for the backtesting system. Tick Data Data sets: Level 1 tick quotes; Tick trades (last price and volume); Minute trades (open, high, low, close and volume for each min interval) Granularity: Intraday Acquisition method: Manual download; Local software install; Programmatically Use in system: In the case of intraday backtesting, used to backfill historic data from before the automatic daily batch methods begin./stock acquisition automatic data Data sets granularity integration complexity intraday intraday backtesting manual minute options pandas system trades
Now that we have a high level overview of backtesting, I'll discuss backtesting data considerations. We'll likely encounter data quality issues along the way and will need to identify and clean the data before use in the system.clean cleaning data issue ll market missing model strategy system volatility winsorizing
I won't regurgitate the content from these resources, however I would like to add some context to this project.
In the most general sense, backtesting refers to testing the results of a predictive model using historic data.backtest backtesting building data find model options strategy system trading