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Backtesting
Backtesting is a term used in oceanography, meteorology and the financial industry to refer to testing a predictive model using existing historic data. Backtesting is a kind of retrodiction, and a special type of cross-validation applied to time series data.
== Financial analysis==
In a trading strategy or investment strategy, backtesting seeks to estimate the performance of a strategy if it had been employed during a past period. This requires simulating past conditions with sufficient detail, making one limitation of backtesting the need for detailed historical data. A second limitation is the inability to model strategies that would affect historic prices. Finally, backtesting, like other modeling, is limited by potential overfitting. That is, it is often possible to find a strategy that would have worked well in the past, but will not work well in the future.〔(【引用サイトリンク】url=http://www.backtestbroker.com/backtestingfaq.aspx )〕 Despite these limitations, backtesting provides information not available when models and strategies are tested on synthetic data.
Backtesting has historically only been performed by large institutions and professional money managers due to the expense of obtaining and using detailed datasets. However, backtrading is increasingly used on a wider basis, and independent web-based backtesting platforms have emerged. Although the technique is widely used, it is prone to weaknesses.〔(【引用サイトリンク】url=http://www.financialtrading.com/issues-related-to-back-testing/ )〕
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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