Backtesting Suggestions

Optuma Forums Feature Requests Backtesting Suggestions

This topic contains 2 replies, has 3 voices, and was last updated by Avatar Roberto 3 months, 2 weeks ago.

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  • #53155
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    Mandeep
    • Topics: 22
    • Replies: 12
    • Posts: 34

    Hi,

    Appreciate your work on the backtesting module.  Here are a couple of suggestions below to enhance it:

    1. Include an option to take inflation into account or select a CPI index to better see real rates of return especially for 20-30 year back tests.
    2. Ability to select an out of market instrument other than cash -e.g. an aggregate bond etf.  It makes a good amount of difference over 10+ years with overall returns.
    3. Include a dividend component or a user defined one (if its too complex) especially for the S&P / XJO or other major benchmarks – currently over the last 19 years the reported SPY return appears as 5.2% but in reality it was closer to 9.6%.
    4. Not sure if this is possible but a formula which allows you to rank an asset using an If statement.  E.g. if bear market rank on Value (P/B); if bull market rank on Momentum (ROC 12mth).  
    5. The FX/Futures backtesting doesnt take into FX norms.  E.g. a drawdown of 5% looks great on a backtest but in reality that might be equal to 500 pips or @ $10 p/pip -a  $5,000 drawdown on a full sized contract.  This may actually be a 50% drawdown of a $10k equity test.  

    cheers

    Mandeep

    #53161
    Mathew
    Mathew
    • Topics: 16
    • Replies: 1,035
    • Posts: 1,051

    Hi Mandeep,

    Thanks so much for your suggestions. I am planning a very big rewrite of the backtester later this year. In doing research for the quant course I learned so much more which I want to build in and really took the time to look at some of the features we currently have.

    I’ll add your suggestions to the list that I’m compiling.

    All the best

    Mathew

    #53469
    Avatar
    Roberto
    • Topics: 0
    • Replies: 1
    • Posts: 1

    possible additional suggestions to Backtester

    Dears,

    with special regards to portfolio backtests, an interesting and flexible approach is the one running on the “ETFReplay.com” website.

    Best regards.

    Roberto

     

     

     

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