Seeking Help for R2 indicator and Backtest stoploss

Optuma Forums Optuma Scripting Seeking Help for R2 indicator and Backtest stoploss

This topic contains 0 replies, has 1 voice, and was last updated by Avatar Mandeep 2 months, 1 week ago.

Viewing 1 post (of 1 total)
  • Author
  • #51691
    • Topics: 15
    • Replies: 10
    • Posts: 25


    Would greatly appreciate some help – trying to code Andrea Clenow’s popular momentum indicator.  Optuma has LRINT() which I annualised (LRINT()*25).  But I then need to calculate R2 to see determine the strength of the correlation.  I was thinking of using the intercept function but how do I achieve – “Explained Variation / Total Variation”.  


    The second question is I am running a re balancing back-test – how can I add a stop loss to test this.  It appears stop losses are only available for signal back-testing.  PS on my backtest I received a different result by using ROC() 20 days v ROC () 1 month.  Is  this normal?


    thanks very much guys   Mandeep    

Viewing 1 post (of 1 total)

You must be logged in to reply to this topic.

Pin It on Pinterest

By continuing to use the site, you agree to the use of cookies. more information

The cookie settings on this website are set to "allow cookies" to give you the best browsing experience possible. If you continue to use this website without changing your cookie settings or you click "Accept" below then you are consenting to this.