How to use Synthetic Market Data Generator
Generate synthetic price series from geometric Brownian motion, GARCH(1,1) with volatility clustering, regime-switching bull/bear, or copula-linked multi-asset processes — the controlled inputs you need to stress-test backtests without overfitting to history.
What It Does
Use the calculator with intent
Generate synthetic price series from geometric Brownian motion, GARCH(1,1) with volatility clustering, regime-switching bull/bear, or copula-linked multi-asset processes — the controlled inputs you need to stress-test backtests without overfitting to history.
Backtesters who want to stress-test a strategy across many possible market futures rather than just the one historical realization the strategy was fit to.
Interpreting Results
Run the strategy on N synthetic realizations of the same model and compare the resulting Sharpe distribution against the historical Sharpe. A historical Sharpe in the top 5% of the synthetic distribution may be overfit luck, not edge.
Input Steps
Field by field
- 1
Upload data
Upload empirical return series for the assets you want to model.
- 2
Pick option
Pick the model: GARCH(1,1) for vol clustering, Skewed-t for fat tails, regime-switching for stress scenarios.
- 3
Set parameters
Set generation parameters: number of paths, length of each path.
- 4
Read outputs
Read calibration diagnostics — does the synthetic data match your real data on the metrics that matter (skew, kurtosis, vol clustering)?
- 5
Use result
Use the synthetic series for stress-testing. Do NOT use it as a live trading signal — by construction it has no real-world predictive content.
Common Scenarios
Use realistic starting points
Stress-test a trend strategy
Process
GARCH(1,1)
Realizations
1000
Length
5 years
Trend strategies look very different across GARCH realizations than they do on history — the distribution is wide. If historical performance is at the 95th percentile, real edge is uncertain.
Stress-test a mean-reversion strategy
Process
Regime-switching
Realizations
500
Length
3 years
Mean-reversion strategies survive in mean-reverting regimes and die in trending regimes — the regime mix matters more than the parameter choice.
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Backtest Overfitting Score
Upload a backtest trade log and compute Probability of Backtest Overfitting (PBO), Deflated Sharpe Ratio, and the odds your edge survives live trading.
Returns Distribution Analyzer
Paste a returns CSV. Histogram, normal-overlay, QQ plot, skewness, excess kurtosis, Jarque-Bera test, tail-weight index. See why Sharpe alone misleads.
FAQ
Questions people ask next
The short answers readers usually want after the first pass.
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