Is this Possible Within BackTester?

Optuma General Discussion
1

I am trying to determine what is conceptually nature of what is possible within the BackTester.

Say, I have binary script that ranges from 1-10. Is it possible to run a combined backtest with 100% of the equity allocated to each asset only during its specified condition below using logic like the following:

Entry:

If Binary >= than 7 then SPY
If Binary < 7 and > 4, then GLD
If Binary <= 4 then SHV

Is this even possible? If so, how do you match the script to the Codes in the backtesting engine? How do you handle the exits since they are part of the entry?

Thanks in advance,

Eric

2

Hi Eric,

It can be done but would take some time to build the script. Here’s an example for 2 conditions:

Note that the web-based backtester has been built to easily include this type of strategy. Mathew sent a video last week explaining more, along with a survey. If you haven’t already done so, we’d love to get your feedback. Thanks!

3

Thank you Darren. Much appreciated.