Backtest queries

Optuma Forums Optuma General Discussion Backtest queries

  • This topic has 2 replies, 3 voices, and was last updated 1 month ago by Ian.
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  • #68847
    Zac
    • Topics: 3
    • Replies: 1
    • Posts: 4

    Hi all

    I’ve got a few queries on backtesting:

    1) Is performance reported on a CLOSED TRADE basis, or is it marked to market at the end of each month?

    2) How do i create a filter with a reference to another security orindex.  Eg,  only take a trade from my watchlist if the XJO is trading above its 100 Moving Average?

    3) When a backtest completes, but you have NOT selected CLOSE ALL POSITIONS in the settings, where do you see what the current open positions are at the end of the backtest?

    4) Is there a way to save the results of the backtest in Optuma so that you can compare backtests – and dont have to execute it everytime?

    5) When looking at the trade list,  how does one analyse it?
    I assume the closing trades are marked in green highlights are profits and reds are losses, but there isnt a % profit figure showing against these coloured rows.
    Then there are clear rows, which appear to be the opening trades, but these show % profits against them….. very confusing!

    6) When i try to run a Monte Carlo Analysis, it always seems to freeze up my PC. Ive got it set for 20,000 tests.  Is this function actually working?

    #68857
    Darren
    • Topics: 71
    • Replies: 880
    • Posts: 951

    Hi Zac,

    See my responses below. Note the quantitative testing engine is currently being rebuilt and redesigned for release later this year.

    1) Is performance reported on a CLOSED TRADE basis, or is it marked to market at the end of each month?

    Closed trades

    2) How do i create a filter with a reference to another security orindex.  Eg,  only take a trade from my watchlist if the XJO is trading above its 100 Moving Average?

    Use the GETDATA function. Change the VIX example here to XJO: https://help.optuma.com/kb/faq.php?id=1057

    3) When a backtest completes, but you have NOT selected CLOSE ALL POSITIONS in the settings, where do you see what the current open positions are at the end of the backtest?

    In the Trade List tab

    4) Is there a way to save the results of the backtest in Optuma so that you can compare backtests – and don’t have to execute it every time?

    In the Results tab scroll down to the Actions section and select Copy Results to Clipboard where you can either paste the data in to Excel or an image to a document:

    Capture

    5) When looking at the trade list,  how does one analyse it?
    I assume the closing trades are marked in green highlights are profits and reds are losses, but there isnt a % profit figure showing against these coloured rows.
    Then there are clear rows, which appear to be the opening trades, but these show % profits against them….. very confusing!

    This is part or the module that is being rebuilt. You can copy the trades to clipboard and paste in Excel for further analysis.

    6) When i try to run a Monte Carlo Analysis, it always seems to freeze up my PC. I’ve got it set for 20,000 tests.  Is this function actually working?

    No issues here. Try fewer tests or send support a diagnostic report of your system: https://help.optuma.com/kb/faq.php?id=783

    #68969
    Ian
    • Topics: 0
    • Replies: 1
    • Posts: 1

    Hi, Is there an experienced Optuma user that lives in Perth, Western Australia that is prepared to offer one on one tuition in the use of Optuma either in person, over the phone or online.
    cheers, Ian

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