Hi,
Appreciate your work on the backtesting module. Here are a couple of suggestions below to enhance it:
- Include an option to take inflation into account or select a CPI index to better see real rates of return especially for 20-30 year back tests.
- Ability to select an out of market instrument other than cash -e.g. an aggregate bond etf. It makes a good amount of difference over 10+ years with overall returns.
- Include a dividend component or a user defined one (if its too complex) especially for the S&P / XJO or other major benchmarks - currently over the last 19 years the reported SPY return appears as 5.2% but in reality it was closer to 9.6%.
- Not sure if this is possible but a formula which allows you to rank an asset using an If statement. E.g. if bear market rank on Value (P/B); if bull market rank on Momentum (ROC 12mth).
- The FX/Futures backtesting doesnt take into FX norms. E.g. a drawdown of 5% looks great on a backtest but in reality that might be equal to 500 pips or @ $10 p/pip -a $5,000 drawdown on a full sized contract. This may actually be a 50% drawdown of a $10k equity test.
cheers
Mandeep