Backtesting

Optuma General Discussion
1

Hi guys,

 

Posted a previous post - wanted to understand if its possible to add a stop loss for a rebalancing portfolio backtest.

 

Otherwise is it possible to have a signal test which also ranks values in a universe of assets?

 

cheers

 

Mandeep

2

Hi Mandeep,

See here for setting up rebalancing strategies:

https://help.optuma.com/kb/faq.php?id=1022

3

Thanks for coming back Darren I’ve been through that but once I set a rebalancing option the ability to add a stop loss disappears or freezes

is this a restriction ?

 

Thanks

 

mandeep

4

Hi Mandeep,

There are no stops when rebalancing - the stocks are replaced every rebalancing period based on the new ranking of your criteria (if they fall outside of that ranking). They can’t be replaced midway through a rebalancing period.

5

Hi all,
I am using rebalancing mode (monthly) in the backtester with position sizing set to Percent Risk. This provides an option Percent Stop which I have set at 20%. It seems to have no effect on any of the trades, they all exit on the monthly rebalance. If the Percent Stop value is changed it does affect the backtesting restults - profit, drawdown etc. Can someone tell me what the purpose of the Percent Stop is and how it is to be used in this backtest mode? If it is set to zero the system will not take any trades.

cheers

Evan

6

Hi All,

I am using the backtester, “Test Type” set to Signal and have “Percentage Stop” set to 15% I also have a trailing stop set to 25%. The trailing stop works fine for those trades that work in my favour and then retreat 25%. I am expecting the Percentage Stop setting to fire when trades immediatly go against me and fall by 15%. This does not seem to work, they seems to exit well beyond the 15%, some around 50%. There has been no massive drop causing slippage and plenty of opportunity to exit at 15% or thereabouts.

Am I using the settigns correctly?

Evan