Backtesting Static Watchlists

Backtesting Static Watchlists

montypelerin
2018-02-27 15:44:37

I trade only ETFs. I have downloaded the universe of ETFs but only trade defined subsets and not the entire universe.

I understand how to run a backtest on the entire set of ETFs but that is of no use to me. I need to run backtests on the defined subsets.

Each of the subsets has been created as a separate static watchlist. (They cannot be created via formula and tested that way.) Each has a separate trading system to be used.
I run some of the systems weekly and some monthly.

1. How do I run a backtest on an individual group (which is in a static watchlist)? Most Important!!!!!!!!!!!
2. Is it possible to run, say four different groups all in static watchlists each of which has a different backtest/trading system? Secondary Importance.

A detailed answer to number1 presumably could be applied manually (reflecting the different watchlists and systems) to each of the other watchlists. If there is a simple way to automate (Question 2) that would be icing on the cake.

Thanks for any help/direction you may provide,

Monty Pelerin

QuantShare
2018-03-01 09:25:54

Hi,

1/ In the "Symbols & Dates" tab, add a condition, select "Internal List". Click on the "Internal List" cell then select "Watchlist" then your static watchlist

2/ Create a different trading system for each group (you can even copy the existing ones - In the simulation manager, select your trading system then select "Save As")
It is possible to automated this for several simulation (4 groups doesn't require an automation) using the script editor (in C#).

montypelerin
2018-03-04 11:37:13

Thanks for your help.

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