Best Practice to Evaluate Different Asset Performances

Best Practice to Evaluate Different Asset Performances

swalk10
2014-08-06 15:45:31

QS has fantastic tools (e.g., Rules & Ranking modules) to efficiently evaluate the performances of a wide variety of indicators and approaches.

However, it is more difficult to evaluate these indicators & systems against each asset in a basket of assets.
While the new analysis tab in the simulate is a step in the right direction, I want to replace/improve upon an analytic technique I relied on in Amibroker :

- I use of "switch case " to loop through lists of indicators/sub-systems as well as individual assets (example each stock or each industry)
- then, via optimization - I get a returns, Sharpe, UPI, etc. on each individual combination of indicators/sub-systems crossed with each individual asset.
- I can then understand the specific performance of each combination.

So, is there something like "switch case" that allows "looping" through individual assets results within the Rules/Ranking modules,
or looping through both assets and indicators in a backtest?

Thanks very much
Scott

QuantShare
2014-08-07 04:31:25

Best Answer

Hi Scott,

For the backtester, you can use "Tools -> Script Editor" to create a C# script that does exactly that.

Another solution would be to use QS programming language and combine techniques presented in the following articles:
http://www.quantshare.com/sa-502-how-to-backtest-each-stock-or-asset-individually
http://www.quantshare.com/sa-567-backtesting-all-candlestick-patterns-in-10-minutes

swalk10
2014-08-07 09:18:20

Perfect, the 2nd approach is exactly what I needed!

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