[R-SIG-Finance] Simulate the stock market for back testing strategy

[elton wang]

Here is a beginner question:
what would be your perferred method if we want to
simulate the stock market for back testing a trading
strategy? 
Using sp500 daily data as example, if given the
knowledge that historical data has time varying
volatility, autocorrelations etc? just fitting a
GARCH(1,1) or doing historical resampling?  (simply
divided the data to in-sample and out sample may not
be sufficient, am I right?)

thanks for any comments!



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