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Posted April 18, 2023 by Bishop.Brock

STAC-A3 New Workload Discussion, Spring 2023

Dear Working Group members,

In preparation for the upcoming meeting, I will attach:

o A slide deck with background on the current STAC-A3 benchmarks and proposals + an outline for a new benchmark workload

o A spreadsheet that details some things to consider when specifying a backtesting benchmark

At the meeting, my proposed agenda would be to:

o Go over slides 1-5 to recap the current STAC-A3 benchmark and outstanding proposals

o Go through the spreadsheet in order to understand which aspects of a backtesting benchmark are the most interesting/important to the working group

o If time permits - and it is still appropriate - discuss the proposal outlined in slides 6-onward

Of course, any comments prior to the meeting are also welcome!

Thank you,

Bishop

Comments

The STAC Backtesting Special Interest Group consists of end-user organizations and vendors with an interest in the engineering challenges associated with the backtesting of trading strategies.

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