Game Changing Backtest Request

Hi very excited to see the new backtest module when its ready.

A great feature to have is to include a chart of the Win Rate, SR & Profitability along the life of the backtest. Often backtesting static numbers such as a 50% Win Rate or 0.6 Sharpe Ratio don’t give us a complete picture. These numbers often look like a sinewave and fluctuate up and down over market cycles.

As an example breakout strategies don’t do well when the market is under pressure and volatility is spiking (our win rate might drop to 30% from 65% in a strong market). A standout feature I’ve also been thinking about is to be able to specify a ‘running’ factor such as market breadth or volatility against the above charts so we can see periods when strategies actually outperform - this will help us refine our money management & risk when market conditions change.

These new quant stats will give us an unparalleled edge when optimising strategies - when to use margin, when to stay in cash, when to switch b/n strategies, when to hedge.

cheers

Mandeep

Hi Mandeep,

Just wanted to check that you saw my note about the delay to version 2 quant tools? https://forum.optuma.com/topic/notice-on-backtester-quant-update/

I will add a note to show that data series for each of these metrics as we do keep them internally when creating a test, but do not show them. The reason I’ve been keeping them is that my plan was to identify market phases by looking at stocks, bonds, and commodities and be able to show results in different phases of the market.

The work on this data and software update will be finished by the end of June and then my time shifts back to this!

All the best

Mathew