Reply To: Back Tester and ROC

Optuma Forums Optuma Scripting Back Tester and ROC Reply To: Back Tester and ROC

#47703
Darren
Darren
  • Topics: 29
  • Replies: 152
  • Posts: 181

Hi John,

I think it’s a timeframe issue. The exit in your example is because the day’s close is less than the month-end close of the day before. So when using ROC(Week(PERIODAMOUNT=1), BARS=1) it will use the weekly (Friday) close, regardless of when the test is run. Instead use the CHANGE function set to one week and it will be a rolling week rather than from the Friday.

CHANGE(INT_TYPE=Week, INT_COUNT=1)

See here for more info on ROC vs CHANGE:

https://forum.optuma.com/topic/whats-the-difference-between-roc-and-change-functions/

  • This reply was modified 3 months, 3 weeks ago by  Mark. Reason: Fixed URL Link

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