Backtest

How would financial products evolve if they were acquired in the past? LexiFi Apropos’ Backtest feature provides an accurate answer in seconds.

Quantify the performance of a financial product as if it had been acquired at one or several date(s) in the past instead of at the real issue date, for any imaginable product.

Backtest allows users to perform multiple simulations in one go by specifying a series of acquisition dates in the past, and then view the results of each simulation. Each simulation is done by running the contract from a date in the past along the underlying(s) realised time series of data. This is achieved by translating its fixings by a computed delta time value to obtain corresponding fixings in the past, and normalising the contract using these fixings instead of the real ones. The spot levels of the underlyings in the past can be scaled or shifted so that barriers, expressed in terms of the real initial fixings of the contract, can be used in the simulation even though the simulated initial fixings in the past are different.

Unlock value in one click to obtain results for each simulated acquisition date, including the annual yield, the effective lifespan of the product and associated cashflows. Visualize the results using either a tabular or a graphical format.

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Figure 1: Dates, frequency and reference level shifts can be customised in backtests

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Figure 2: Metrics such as annual yield and price distribution are displayed graphically

Video 1: Running the backtest simulation for a given contract, computing the results and analysing the charts

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