backtesting

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Fri, 09/13/2019 - 11:50
#1
Fiber
Last seen: 5 years 2 months ago
Joined: 09/02/2019 - 08:02
How to get Statistical calculations for portfolio?

Hi, I'm trying to calculate stats not on one symbol but for portfolio. Lets say I want to count gaps bigger then x percent.
I built a Signal and used it with Signal Statistics to get result for one symbol. In my case I want to calculate more variables and for many symbols at once.
In the Homework #10 there are example how to use backtesting and Long/Short trades at the session end to calculate desired result.
But in this case can get max 2 results ( by number Long and Short trades)

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1 post / 0 new
Fri, 10/05/2018 - 19:48
#1
joshdawson
Last seen: 1 year 2 months ago
Joined: 04/14/2015 - 12:25
Backtesting and debugging

Hello,
I am new at backtesting with IRT. The system I want to test is pretty simple. I want to look at previous quarter retracements vs the current price. For example when the current price reaches a retracement of 75% of the previous quarter, then the system enters the trade. The system will then exit the trade when the current price >= then the current quarterly high. I am not sure what I am doing wrong in the code?
Sesst (125 % quarter, 1 previous back) >= Low
Sesst (High, quarter) <= High
Sesst(200% quarter, 1,previous back) >= Low

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Trading System Part 4: Evaluating Results

Evaluation Making Sense of Reports Trusting the Results

This video covers the various reports that result from a backtest and discusses some different statistical results that the user should pay careful attention to.

Trading System Part 3: Debugging System

Debugging: Debugging Trading Systems and Verifying Results

This video was made independently of the rest of this backtesting series, but is a good complement to the videos above. It goes through the complete development of another system and focuses on various ways to debug systems and verify results.

Trading System Part 1: Idea: Formulate a Strategy

Idea: Formulating A Strategy

This video discusses the "brainstorming" phase of developing a trading system and is the first in a series of videos on Investor/RT's back-testing and trading system capability, as well as optimization.

Tutorial - Rule Testing In Backtests

If you click on BUYSTOP in the list of actions, the description appears "Buy to Exit Short Position". This rule action is normally used as a stop loss rule to buy (cover) the short position if the market rises against you above some level. For example, you can have a BUYSTOP rule with the signal formula CL > ENTRY * 1.05; This would exit the short position if the price of the stock rose more than 5% higher than the price at which you shorted.