Re:ArcticDB: Why a Hedge Fund Built Its Own Database
by nzjrs on Sunday August 25, 2024 @07:50AM
(#41346612)
Id be interested to hear how often you have your team use this to also store historical backtest results as people iterate on strategies.
Re:ArcticDB: Why a Hedge Fund Built Its Own Database
by dnadler on Sunday August 25, 2024 @08:46AM
(#41346921)
I’ve never seen it used for backtests personally. Generally backtested results are saved as a batch of variants following some naming convention as different symbols.
Re:ArcticDB: Why a Hedge Fund Built Its Own Database
by jjmunro on Monday August 26, 2024 @05:12AM
(#41355318)
So, yes, separating the use-cases out...
You would use some convention for naming and parametrising backtests, 'different' backtests would get stored separately. But once you start updating backtests, running them in a loop with changing data, that's when the time-travel feature starts to be useful.
There are however lots of time-series that do change in Finance, e.g. valuations, estimates, alt-data (an obvious one is weather predictions). The time-travel feature can being super useful outside of external data changing as well, as an audit-log, and as a way to see how your all-time evaluations have changed (say backtests).