Backtesting – Suggested Enhancements

Optuma Forums Feature Requests Backtesting – Suggested Enhancements

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  • #54917
    • Topics: 32
    • Replies: 17
    • Posts: 49

    Hi team,

    Hope all is well.

    1.  It would be highly beneficial to include additional survivor-ship bias free data sets.  At a minimum having a S&P or Russell based small cap and mid cap data set would greatly enhance strategy analysis. Strategies on small cap and mid cap stocks w/out this pose more of a risk than using equivalent large cap data.
    2. If the above is too hard – then allow a discount % rate which can be manually applied to reduce the returns.  Compounding this over the period of the backtest will help normalise the results.
    3. If possible it would be so much better to include total returns including dividends reinvested.  If this is too hard – then provide a field whereby a user can enter manually enter a yearly div yield.
    4. Having a chart which shows yearly rolling returns / sharpe ratios would also bring the tool in line with other backtesting systems.




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