PERFORMANCE EVALUATION OF TRADING STRATEGIES

• US 20160042455A1
• Filed: 08/11/2014
• Published: 02/11/2016
• Est. Priority Date: 08/11/2014
• Status: Abandoned Application

• Current Assignee: SAP SE
• Original Assignee: Suresh Venkatasubramaniyan
• Inventors: Arvindam, Sunil, Chadha, Gaurav, Veilumuthu, Ashok, Venkatasubramaniyan, Suresh, HP, Nischal, Rajagopal, Shrayas, Sharma, Subhash A., Nayak, Vishwas Sudhakar, Saini, Hiti
• Application Number:
  US14/456,095
• Publication Number:
  US 20160042455A1
• Time in Patent Office: Days
• US Class Current: 1/1
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Implementations of the present disclosure include methods, systems, and computer-readable storage mediums for automatically configuring a user interface for interacting with an application. Actions can include receiving a request provided through a user interface of a remote device, the request including a plurality of elements including an identifier associated with a tradable asset, and a time period; in response to receiving the request, obtaining at least one transactions series relating to the tradable asset within the time period, the at least one transactions series corresponding to a trading strategy; determining a performance indicator of the trading strategy based on the transactions series; and transmitting a response to the request including content relating to the performance indicator of the trading strategy.

Claims

1. A computer-implemented method for performance evaluation of trading strategies, the method being executed using one or more processors and comprising:

receiving, by the one or more processors, a request provided through a user interface of a remote device, the request comprising a plurality of elements including;

an identifier associated with a tradable asset; and

a time period;

in response to receiving the request, obtaining, by the one or more processors, at least one transactions series relating to the tradable asset within the time period, the at least one transactions series corresponding to a trading strategy;

determining, by the one or more processors, a performance indicator of the trading strategy based on the transactions series; and

transmitting, by the one or more processors, a response to the request including content relating to the performance indicator of the trading strategy.

2. The method of claim 1, wherein obtaining the at least one transactions series comprises:

submitting a query to a database, the query based on the elements of the request; and

receiving, from the database, one or more transactions series responsive to the query.

3. The method of claim 2, wherein the elements of the request further include one or more selection conditions relating to a desired type of transactions series.

4. The method of claim 2, wherein the database comprises an in-memory database.

5. The method of claim 1, wherein the request further includes one or more evaluation parameters, and wherein the method further comprises determining that the trading strategy corresponding to the transactions series performs according to at least one of the evaluation parameters.

6. The method of claim 5, wherein determining that the trading strategy performs according to at least one of the evaluation parameters comprises determining that the performance indicator meets with at least one of the evaluation parameters.

7. The method of claim 1, wherein determining the performance indicator includes determining at least one of an earnings indicator, a risk indicator, and a quality indicator.

8. The method of claim 7, wherein determining the earnings indicator comprises comparing earnings achieved by the transactions series to passive earnings.

9. The method of claim 7, wherein determining the risk indicator comprises determining a standard deviation of earnings achieved by the transactions series.

10. The method of claim 7, wherein determining a quality indicator comprises determining at least one of:

volatility, Sharpe Ratio, maximum drawdown, number of profitable trades, and rolling performance.

11. The method of claim 1, wherein the time period comprises a back-testing period and a forward-testing period, and wherein determining the performance indicator comprises analyzing a portion of the transactions series corresponding to the back-testing period.

12. The method of claim 1, wherein the tradable asset comprises a financial instrument.

13. The method of claim 1, wherein obtaining the at least one transactions series comprises:

receiving, by the one or more processors, trade data relating to the tradable asset; and

in response to receiving the trade data, executing, at the one or more processors, the trading strategy based on the trade data to define the transactions series.

14. The method of claim 13, wherein obtaining the at least one transactions series further comprises:

receiving, by the one or more processors, one or more strategy parameters; and

in response to receiving the strategy parameters, generating the trading strategy, at the one or more processors.

15. The method of claim 1, wherein the at least one transactions series comprises a plurality of transactions series, each of the plurality of transactions series corresponding to a respective trading strategy, and wherein the method further comprises:

selecting at least two trading strategies based on a combining criteria; and

combining the at least two of trading strategies to define a combined trading strategy.

16. A non-transitory computer-readable storage medium coupled to one or more processors and having instructions stored thereon which, when executed by the one or more processors, cause the one or more processors to perform operations for performance evaluation of trading strategies, the operations comprising:

receiving, by the one or more processors, a request provided through a user interface of a remote device, the request comprising a plurality of elements including;

an identifier associated with a tradable asset; and

a time period;

in response to receiving the request, obtaining, by the one or more processors, at least one transactions series relating to the tradable asset within the time period, the at least one transactions series corresponding to a trading strategy;

determining, by the one or more processors, a performance indicator of the trading strategy based on the transactions series; and

transmitting, by the one or more processors, a response to the request including content relating to the performance indicator of the trading strategy.

17. A system, comprising:

a client-side computing device including one or more processors; and

a computer-readable storage device coupled to the client-side computing device and having instructions stored thereon which, when executed by the client-side computing device, cause the client-side computing device to perform operations for performance evaluation of trading strategies, the operations comprising;

receiving, by the one or more processors, a request provided through a user interface of a remote device, the request comprising a plurality of elements including;

an identifier associated with a tradable asset; and

a time period;

in response to receiving the request, obtaining, by the one or more processors, at least one transactions series relating to the tradable asset within the time period, the at least one transactions series corresponding to a trading strategy;

determining, by the one or more processors, a performance indicator of the trading strategy based on the transactions series; and

transmitting, by the one or more processors, a response to the request including content relating to the performance indicator of the trading strategy.