Reply To: Back Tester Help

Optuma Forums Optuma Scripting Back Tester Help Reply To: Back Tester Help

#66989
Louis
  • Topics: 23
  • Replies: 39
  • Posts: 62

Yes, switching back to the signals test type allows to script an exit, but removes the ranking which was my initial issue. I was trying to set this up as much as I could without you, but I am stuck. Below is exactly what I am trying to test. Perhaps this will help you to guide me to the best solution.

Sector Relative Strength Portfolio Test
Initial Entry: 01/01/1999
·        Rank the 11 sectors using a 126 day ROC.
·        Buy the top 3 with an equal dollar amount.

Rebalance 21 or 63 days later:
·        Rank the 11 sectors using a 126 day ROC.
·        Stay long the sector if the rank is a top 3.
·        Exit the sector if it is not in the top 3.
·        Buy any sector in the top 3 that is not currently owned.

Risk Management:
·        Exit a sector if the 5-day simple crosses below the 200-day simple or if there is a -30% drawdown from the high.
·        Re-enter if the 5-day simple crosses above the 200-day simple

thank you

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