BackTesting Script Query


I am trying to do a fairly simple re balancing scenario = taking the highest COT commercial positions in the commodity universe on Optuma.


Does the optuma COTDATA() automatically pick up the relevant COT data - I noticed that it is by default set to Wheat.

Also when you have a secondary rank + "TROC()"does that means it first ranks on COTDATA() and then takes the ones with the next rank being TROC()



Hi Mandeep,

Because of the way the COT Data is calculated it’s not possible to use the COTDATA function in a rebalancing test. The function will only return the value of the COT Report selected (001602 commercial wheat SRW by default).

Thanks Darren - Can you also clarify the sequencing of the re-balancing functions. As an example if I was looking to firstly select momentum stocks using the Descending "Performance()" if I select another Metric using the "AND" function and "datafield(Book Value per Share)" ratio - Does this sort by momentum AND then pick the best value stocks within that sorted list. Or does it use both functions to sort out a list in a singular method.

I've read the online help/function article but any other info would be great if you have any.