Deployed a new strategy portfolio this morning (92 Long strategies and 4 Short strategies). I will continue adding new short strategies to the mix.
@fan27 thanks for sharing your work... i am facing some issues sometimes where sample size of trades are to few, same as you mentioning, around 100 trades .. so i am looking to create a tool to further test my strategies.. you are saying that you have created a tool to see how often your strategy beats random entry.... would it be possible for you to expand on your approach on this? i am looking into creating something similar ..... are you just doing this trough a monte carlo run end then randomise the entry for each variation ?
What platform are you currently using for backtesting? I will try and give you some ideas based on the answer.
Hi @fan27 i am Using Multicharts for building, testing and execution of my algos, towards IB, then using MSA from adaptrade for evaluating my collected portfolios, Multicharts lacks lots in portfolio evaluation... i am looking into expanding my tests to include analysis of randomination of entries and possible exit with Montecarlo... i am however interested in understanding how you have included your tool fo revaluation randon entry... Multicharts can now also be connected to python so my options are quiet open...
With FasterQuant, it is trivial to execute a backtest X number of times and my backtest component can take a collection array indexes which map to a point in time in the data series where each index will be used as an entry signal. This makes it very easy to randomize the entry indexes and test random entry against specific exit criteria. I have no idea how you could accomplish something similar with MultiCharts as you limited to what they offer via the platform.