Signal Tester

Hi Mathew,

thanks for your tweet about the VIX moving below 40% and the S&P 500 probable move in around 6 months later.

I would be very grateful if you could publish the script you used for the test. I think there are again only a few code line, perhaps only two or three.

But as already mentioned elsewhere I want use this opportunity to learn how to create test scripts by my own.


Some thoughts to improve the Signal Tester output data.

Currently it is only possible to display the test results as a line (usually the green line) and the statistic table and graphs below it.

Moving the “time slider” makes it possible to see the statistics at different time periods. That is of course great.

I think it would be an improvement to the Signal Tester if it would be possible to display the test results ALSO in a table form.

So it would be possible to see what happens 1 week, 2 weeks, 1 month, …, 1 year after the signal. Please see my screen shot below for such a table.

test table example

Since Optuma already calculates these test results data it would be “only” necessary to input the values in the test result table.

The table would make it possible to see more “clearly” how the performance of the signal develops over time then the simple green line.

Thanks
Thomas

Hi Thomas,

For sure, the script is

gd1 = GETDATA(CODE=VIX:CBOEI);
gd1 CrossesBelow  40;

Re the tabular results - I agree, we are working on that sort of output for our next testing platform. It will be many months away yet but it will be worth the wait.

All the best

Mathew