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The design considerations and development of a simulator for the backtesting of investment strategies
The skill of accurately predicting the optimal time to buy or sell shares on the stock market is one that has been actively sought by both experienced and novice investors since the advent of the stock exchange in the early 1930s. Since then, the finance industry has employed a plethora of technique...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Computer Science
2014
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| _version_ | 1867614429123706880 |
|---|---|
| access_status_str | Open Access |
| author | Gounden, Kevin |
| author2 | Marsden, Gary |
| author_browse | Gounden, Kevin Marsden, Gary |
| author_facet | Marsden, Gary Gounden, Kevin |
| author_sort | Gounden, Kevin |
| collection | Thesis |
| description | The skill of accurately predicting the optimal time to buy or sell shares on the stock market is one that has been actively sought by both experienced and novice investors since the advent of the stock exchange in the early 1930s. Since then, the finance industry has employed a plethora of techniques to improve the prediction power of the investor. This thesis is an investigation into one of those techniques and the advancement of this technique through the use of computational power. The technique of portfolio strategy backtesting as a vehicle to achieve improved predictive power is one that has existed within financial services for decades. Portfolio backtesting, as alluded to by its name, is the empirical testing of an investment strategy to determine how the strategy would have performed historically, with a view that past performance may be indicative of future performance. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10569 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:51:54.005Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Computer Science |
| publisherStr | Department of Computer Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10569 The design considerations and development of a simulator for the backtesting of investment strategies Gounden, Kevin Marsden, Gary Computer Science The skill of accurately predicting the optimal time to buy or sell shares on the stock market is one that has been actively sought by both experienced and novice investors since the advent of the stock exchange in the early 1930s. Since then, the finance industry has employed a plethora of techniques to improve the prediction power of the investor. This thesis is an investigation into one of those techniques and the advancement of this technique through the use of computational power. The technique of portfolio strategy backtesting as a vehicle to achieve improved predictive power is one that has existed within financial services for decades. Portfolio backtesting, as alluded to by its name, is the empirical testing of an investment strategy to determine how the strategy would have performed historically, with a view that past performance may be indicative of future performance. 2014-12-30T06:52:36Z 2014-12-30T06:52:36Z 2011 Master Thesis Masters MSc http://hdl.handle.net/11427/10569 eng application/pdf Department of Computer Science Faculty of Science University of Cape Town |
| spellingShingle | Computer Science Gounden, Kevin The design considerations and development of a simulator for the backtesting of investment strategies |
| thesis_degree_str | Master's |
| title | The design considerations and development of a simulator for the backtesting of investment strategies |
| title_full | The design considerations and development of a simulator for the backtesting of investment strategies |
| title_fullStr | The design considerations and development of a simulator for the backtesting of investment strategies |
| title_full_unstemmed | The design considerations and development of a simulator for the backtesting of investment strategies |
| title_short | The design considerations and development of a simulator for the backtesting of investment strategies |
| title_sort | design considerations and development of a simulator for the backtesting of investment strategies |
| topic | Computer Science |
| url | http://hdl.handle.net/11427/10569 |
| work_keys_str_mv | AT goundenkevin thedesignconsiderationsanddevelopmentofasimulatorforthebacktestingofinvestmentstrategies AT goundenkevin designconsiderationsanddevelopmentofasimulatorforthebacktestingofinvestmentstrategies |