Backtesting – Rank Function

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  • #68259
    Mandeep
    • Topics: 46
    • Replies: 23
    • Posts: 69

    Hi

    Just wanting confirm when I complete a backtest on a universe of stocks using the Monthly Rank function such as ARR(), I can also add a secondary rank formula such as Performance().

    The results adding a secondary rank formula differ quite abit – is this because these are being double sorted or a layered rank?  How can we replicate this process in the backtest double rank in real life to mimic this strategy.

    cheers

    Mandeep

    #68262
    Matthew
    • Topics: 5
    • Replies: 609
    • Posts: 614

    Hi,

    I am not 100% sure what it is you are doing in the setup.  If you could please send a copy of the back test file to [email protected] with a screen shot reference, we can look into more detail there.

    #68267
    Mandeep
    • Topics: 46
    • Replies: 23
    • Posts: 69

    Hi Mathew

    For some reason the workbook isnt sending – however here is the screenshot of the test.  First criteria is ARR() and the second is performance(PERIODAMT=3).  Wanting to understand if this is a legitimate test and/or if its possible to replicate in replicate in real life.

    Thanks

    Mandeep

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