| 20100153300 | DERIVATIVE TRADING STRATEGY BACKTESTING MACHINE - An automated information search, retrieval and reporting system, and more particularly, a system designed for the historical backtesting of financial market positions, for example, the simulation of the execution of derivative trading strategies. A user accesses data in a market information database via user interface by submitting queries in a near natural language format that define a desired derivative trading strategy with respect to one or more tradable securities. Historical daily price information about securities and derivatives are gathered and combined in a single location. Derivative relative data is created from the historical information and stored as a continuous historical series, wherein the derivative relative data is derived from each derivative's relative position to the underlying instrument with respect to price and date information. Reports express the results of the simulated execution of the derivative trading strategy that would have resulted from actual execution of the derivative trading strategy in the historical timeframe, including the daily profits and losses. | 06-17-2010 |
