DVAN Back Testing & Signal Testing

Optuma Scripting
1

Hello,

I have a question relating to back testing and signal testing.

 

DVAN offer the trend signals in the package. Is there a way to backtest these results. When in the backtest manager I can only select a script to backtest from and the DVAN trend signal option is not on offer. Is it purely a manual task using the training manager, to backtest the XAO for 20-30 years?

2

Hi Jonathan,

For the Buy signal use this:

DVANTRENDSIG(DEFAULT=Buy) == 1

Note that the ‘==’ is used to define equality, and a value of 1 is the value of a true signal. For a sell use:

DVANTRENDSIG(DEFAULT=Sell) == 1

You can see how the above match up to the tool when used in a Show Bar:

Capture

3

Thanks kindly for your support here~ When using the script in backtester it returns no results. Can you confirm I have set up the script correctly?

DVAN-Report.png
DVAN-Report.png2736×1824 325 KB

DVAN-Test.png
DVAN-Test.png2736×1824 282 KB

DVAN-Buy.png
DVAN-Buy.png2736×1824 300 KB

4

Thanks Jonathan. I think it’s because you have a Initial Balance of $20,0000 with a max trade of 5%, ie $1,000 but the index is valued in the 5000s, so no trades are possible.

If you change the starting capital to something higher eg $1,000,000 then you will see results as you will be able to invest 1,000,000 * 0.05 = $50,000 per trade.