How data is generated
A seeded random sequence produces 252 sessions of synthetic prices, with a periodic component and simulated noise. No live market feed or forecast is involved.
Change a parameter.
Understand the tradeoff.
A transparent, reproducible research example. Use synthetic prices to explore how signals, exposure, and trading friction interact.
EXPERIMENT RESULTSSYNTHETIC / 252 SESSIONS
Simulated return−1.35%
Maximum drawdown−6.87%
Annualized volatility5.22%
Strategy Benchmark21 position changes
Synthetic-data results illustrate a method. They are not actual investment returns.
Inspect the process,
not just the result.
How signals are executed
Trend compares the previous close with the close 20 sessions earlier. Mean reversion compares the previous close with the preceding ten-session average. Exposure is long only or cash.
How costs are included
Every change in exposure incurs the selected one-way cost. Drawdown is measured from the running equity peak. Volatility uses the standard deviation of daily returns multiplied by √252.