Systems requirements

A backtesting system must store P&L and risk data, and be able to process it into a
suitable form. It is useful to be able to produce backtesting graphs, and exception statistics. The following data should be stored:
Ω P&L figures broken down by:
– Business unit (trading desk, trading book)
– Source of P&L (fees and commissions, provisions, intraday trading, interday
trading)
Ω Risk figures broken down by:
– Business unit
The backtesting system should be able at a minimum to produce backtesting
graphs, and numbers of exceptions at each level of the business unit hierarchy. The
system should be able to process information in a timely way. Data must be stored
so that at least 1 year’s history is available.