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!

Get more messages

No more messages

Back


Trading Items The Best trading rules for the ADX technical indicator Tactical Asset Allocation Strategy based on RSI Adaptive Asset Allocation Butler V1.3 AMM Switch Traded Asset 15 ETF Symbols of Major Asset Groups (ETF AA-15)	How-to Lessons How to plot a stock using different periods in the same chart How to plot two different time frames in the same chart How to display the number of stocks per day for different RSI gro... How to create and trade a Neural Network model How to import your own list of stocks/symbols
Related Forum Threads different weights for different asset class Best practices for using a Global Variable Best way to precompute a custom formula and store it How to define an alternate asset to buy when no positions are hel... Different scales in the same pane	Blog Posts Advanced Tactical Asset Allocation Strategies Create Your Own Tactical Asset Allocation Strategies How to Select the Best Market Indicator for your Trading System How to Backtest Each Stock or Asset Individually Different Types of Trading Indicators: Trend, Momentum, Volatilit...