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PRT enhancement request - test templates


Stef

Question

Something that I believe is missing and would add a huge benefit to PRT WRT testing/backtesting, is a test template(s).

 

In order to do an apples-to-apples comparison of strategies, the following parameters have to be the same:

- test period (start and end date)

- initial capital

- order fee (if applicable; incl. min and max if applicable)

- spread (if applicable)

 

Because you have to specify (and can change it) for each strategy, it is difficult to compare different strategies easily. Also, if you choose earliest and real-time for starting and ending dates, you really have no idea what you are comparing. For example, if you record the results on a notepad or in Excel, over time, none of the results would be comparable.

 

Sure you can set all these options to be the same for each strategy, but it takes a long time to do - if you have multiple strategies - and introduces the possibility of making mistakes.

 

An easy way to solve this, would be the functionality to create test templates, where all of these parameters are specified once. I say test 'templates,' because you would probably want to create different templates for different groups of strategies and/or different types of instruments (some may use spreads, for example, while others will have commissions).

 

If anyone else sees value in this, please leave a comment.

 

Regards

Stef

 

 

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Hi,

 

Another thought... This can be an option on the test templates, or even a quick implementation before getting to (implementing) test templates...

 

Again, this has to do with doing things quicker and easier. As an alternative to specifying start and end dates, I believe there should be an option to simply choose the backtest period; such as 1 month, 6 months, 1 year, 3 years, maximum, etc.

 

Having these as options on a dropdown would make it a lot simpler if you would like to backest your strategy on say the last 6 months', year's, etc. data.

 

Regards

Stef

 

 

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