script example

3 replies

krzysiaczek99

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6 years ago #113976

Hi,

 

Can you give a script example which would:

 

1) load or extract from loaded statement certain range of trades (e.g. 2 weeks trades)

2) create portifilio based on this data

3) evaluate this portfilio e.g. on next week data

– slide this 2 weeks window by one week and goto 1) than 2 and 3 till end of the data or certain stop point

4) present collective result from evaluation periods

 

This typ of walk forward analysis would be very usefaul to evaluate created portfilio performance. Unfortuantelly based on info from your site I was not ableto figure out how to make it using your Java classess.

 

Krzysztof

 

 

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tomas262

Administrator, sq-ultimate, 684 replies.

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6 years ago #131614

This could be theoretically possible to do but we need to test this since it is very complicated. Unfortunately we cannot give you time range at this moment

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krzysiaczek99

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6 years ago #131617

and what about this bug

 

https://strategyquant.com/forum/topic/3465-not-possible-to-change-oos-date/

 

not having possibility of setting date range and use range only from the statement practically disqualifies usabilityof QA as it prohibits proper evalutation of trading strategy. Any reason of it ??

 

 

Krzysztof

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krzysiaczek99

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5 years ago #132584

So any chances to get such script ?? Otherwise its very difficult to make forward test of created portfolio. The lack of possibility of setting date range

for portfolio creation (upto certain date only, than forward test) fools the user with biased results due to multiple testing during portfolio creation.

 

The same request applies for ‘whatif’ results.

 

Is this lack of date ranges done on purpose to inflate results and force user to believe in backtest but not walk forward results ??

 

Krzysztof

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