Seeking Help for R2 indicator and Backtest stoploss

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

Viewing 1 post (of 1 total)
  • Author
    Posts
  • #51691
    Mandeep
    • Topics: 45
    • Replies: 22
    • Posts: 67

    Hi 

    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