Back tester module

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  • This topic has 2 replies, 2 voices, and was last updated 1 month ago by Yan.
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  • #64029
    Yan
    • Topics: 18
    • Replies: 26
    • Posts: 44

    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

    #64033
    Darren
    • Topics: 66
    • Replies: 616
    • Posts: 682

    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:

    1 user thanked author for this post.
    Yan
    #64035
    Yan
    • Topics: 18
    • Replies: 26
    • Posts: 44

    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:

    awesome, I will try it this weekend to see the results.

    Thanks Darren.

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