Back tester module

Optuma Desktop Feature Requests
1

Hello there,

I want to bring this up since no one talk about it before.

In the financial system, each day in the week is different. A signal appears on monday is generally different than any other day in the week. The same results could be appled on tuesday wednesday Thursday and Friday.

As a result, for some signals, if we want to understand how the system is working, we have to know the statistics for a certain signals occurs on certain days in a week. And this effet tends to be more significant on cyclical securities.

So, can we add this thing to the optuma back tester ? (I have0n’t try this module before, maybe you guys can achieve the goal by scripting tools, please let me know if so).

Just an idea if anyone is interested.

Thanks

Yan

2

Hi Yan,

We have a DAYOFWEEK function that can be used in formulas to specify certain days, where 1 = Sunday and 7 = Saturday. The following would show all -2% returns that occurred on a Friday:

DAYOFWEEK() == 6 and 
CHANGE()<-2
3

[postquote quote=64033]
awesome, I will try it this weekend to see the results.

Thanks Darren.