Reply To: Back testing theories

Optuma Forums Optuma Scripting Back testing theories Reply To: Back testing theories

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Hi Guys,

I am also trying some back testing part of which isn’t going as I would expect.  I am using the ranking functionality in Version 1.2 and would like to rank stocks and rebalance the portfolio on a weekly basis based on the Hull ROAR function, this seems ok.  However I also have a daily moving average crossover of the XJO as a market filter.  ie If MA1 is greater than MA2 I can buy, from the ranking list, otherwise I can only sell.  In the back test I am using the MA cross as entry criteria and the Hull ROAR function as the ranking function.  I have noticed from the test results that the MA function is ignored and buying and selling occurs during periods when MA1 is less than MA2.

Any advice on how to conditionally buy from the ranking list?


cheers  Evan

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