Trade Model Evaluation ideas

[owocki]

Ideas for evaluating / backtesting trading models.

From https://github.com/owocki/pytrader/issues/5#issuecomment-204250257 :

A quick way would be create a theoretical control group: (if you bought 1 BTC/ETH and held it for the same two months) and compare the profits.

or

A second much more rigorous method (what I would do before even investing 1 real BTC) would be to get a collection of data from different markets and simulate PyTrader at random segments on them. This would be a true experiment and give a good idea of the actual profitability of the algorithm in the general market. But, I imagine this would take quite a bit of computation power. Do you have a general estimate of how long it would take a $900 PC running 24/7 to simulate 2 months of trading? (assuming all the code is modified somehow for this to happen)

Thanks @jeff-hykin for these ideas. Lets discuss these and other ideas below.

[owocki]

a collection of data from different markets and simulate PyTrader at random segments on them

Part of the reason I didnt do this is that one would have to simulate the exchange and the filling (or partial filling, or not filling at all) of orders. I am not quite sure exactly how to simulate the logic of whether an exchange fills an order, but am open to suggestions.

[Ddfulton]

@owocki Do you still want this fulfilled?

[owocki]

i'm not active on the project any longer

[darkdarkdragon]

Issue Status: 1. Open 2. Started 3. Submitted 4. Done

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