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I’ve mentioned several times in here that we are working on version 2 of the Scanner, Signal Tester, & Back Tester. This one will fix Short tests and allow for managing model portfolios. Eventually, it will link into execution platforms too. The other big task is around using multiple processor cores in the testers to make them faster.
Unfortunately, we will not have all this work complete by the next Optuma major update in June/July.
The project has become bigger than I first anticipated and I do not want to cut corners on this just to make the deadline. We’ll release it later in the year in a smaller update.
I’ve also been pulled into a full review of all our data products which has taken weeks of my time. This is important as some of these items will have a direct impact on the quant tests we can perform.
Some items to come from that will be:
– More consistent naming of our breadth measures and many breadth calculations based on our Symbol Lists
– Introduction of Put Call ratios for US and EU stocks.
– More survivorship bias free Symbol Lists.
– Introduction of Total Returns option on Optuma Charts, this will also be what we use to calculate returns in the Quant tools so that Dividends become an input.
– Improved classification in the folder structure.
– More information in the Security Selector for exchange, asset class and country.
All the best
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