BackTesting Script Query

Optuma Forums Optuma Scripting BackTesting Script Query

This topic contains 2 replies, has 2 voices, and was last updated by Avatar Mandeep 1 month, 2 weeks ago.

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  • #52467
    Avatar
    Mandeep
    • Topics: 14
    • Replies: 10
    • Posts: 24

    Hi,

    I am trying to do a fairly simple re balancing scenario = taking the highest COT commercial positions in the commodity universe on Optuma.

    DESCENDING – COTDATA();

    Does the optuma COTDATA() automatically pick up the relevant COT data – I noticed that it is by default set to Wheat.

    Also when you have a secondary rank + “TROC()”does that means it first ranks on COTDATA() and then takes the ones with the next rank being TROC()

    cheers

    Mandeep

    #52487
    Darren
    Darren
    • Topics: 36
    • Replies: 211
    • Posts: 247

    Hi Mandeep,

    Because of the way the COT Data is calculated it’s not possible to use the COTDATA function in a rebalancing test. The function will only return the value of the COT Report selected (001602 commercial wheat SRW by default).

    #52571
    Avatar
    Mandeep
    • Topics: 14
    • Replies: 10
    • Posts: 24

    Thanks Darren – Can you also clarify the sequencing of the re-balancing functions.  As an example if I was looking to firstly select momentum stocks using the Descending “Performance()” if I select another Metric using the “AND” function and “datafield(Book Value per Share)” ratio – Does this sort by momentum AND then pick the best value stocks within that sorted list.  Or does it use both functions to sort out a list in a singular method.    

    I’ve read the online help/function article but any other info would be great if you have any.

     

    cheers

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