Drawdowns in Backtester Weekly vs Daily

Optuma Scripting
1

I have a weekly model I am testing and I am trying to get a better idea of drawdowns.

I assume the weekly backtest is only using end of week data, so the drawdown is based on that. Ideally, I would like to see drawdown data on a daily basis.

Would setting the Date Time frame to daily, then adding “weekly” to every time setting within the script accomplish this?

Or would doing so provide bad results since I am mixing weekly with daily?

Thanks!

2

Hi John,

This is a major issue when mixing timeframes in tests because the end of the week data is already known on the Monday, and changing the timeframe of script does not solve that.

The next generation of testing currently in development will attempt to fix this issue, so we’ll be sending out more info on this in the coming months. For now it’s best to keep the timeframes the same.