Rules manager - comparing results - back testing vs rules analysis

Rules manager - comparing results - back testing vs rules analysis

GS
2012-09-02 08:19:46

Hi,

I am trying to analyze the performance of rules using rules manager and trying to compare it with the one I see using "Simulate/Backtest". This is because, using simulation/backtest, I will not be able to see:

A) total how many signals are generated using a given rule/strategy
B) out of these signals, how many were having highly successful trades (in terms of % return)
C) had I executed all the signals, what would have been the percentage of successful trades

I also observed that the performance of back testing highly depends upon when we are starting the back testing. For example if I am starting the back testing on 1st of a given month and compare it with that when I start on 15th of that month, the performance would very and it is natural and reason is obvious. However, for an individual it is important to know what percentage of his rules are always profitable and overall returns should not have too much of dependency on entry time.

Therefore using rules manager, how do I understand A,B and C? Also, in "simulate/backtest" do we have any way to automatically change the date and time of entry and see how is the performance of a strategy?

For that I tried the following:

Optimize("dd",1,31,1);
SetSimPeriods(2012,1,dd,2012,9,2);

But I could not see any change in the output for different values of "dd". But if I manually change "dd" from 1 to 2, 3, 4, 5 etc., there is difference. Why so?

Within "Optimize" of "simulate/backtest" I could see " buy/sell/long/short timing decalage", what exactly is this function? I could see huge variation in output during its optimization.

Thanks,

John Lyons
2012-09-02 19:34:52

Great question. I will be watching for replies on this also.

QuantShare
2012-09-03 11:27:02

Best Answer

-> how do I understand A,B and C?

Unlike the backtester, the rules manager executes all signals generated for a given security. If at a given date there are 100 signals then they are all considered.

-> In "simulate/backtest" do we have any way to automatically change the date and time of entry and see how is the performance of a strategy?

You can use the money management script for this. I will upload a script that performs exactly that.
You cannot optimize values of the "SetSimPeriods" function.

-> Within "Optimize" of "simulate/backtest" I could see " buy/sell/long/short timing decalage", what exactly is this function?

This is the number of bars to wait before executing an order (Close at market, tomorrow + N)

GS
2012-09-03 11:59:59

Thanks a lot, I now look forward to use the money management script you are referring to.

Best regards.

allan nathan
2012-09-04 02:16:40

Hi,
that was really helpful.I didnt fully understand the rules manager till now.Is it possible to run the rules manager on the various money managemnt scripts you have provided??

QuantShare
2012-09-04 10:25:26

No, money management scripts work only with the backtester. The rules manager performs simple calculations. It takes a security on signal date (when rule is true), calculates the output value for each signal then calculates the average.

Seeker
2014-12-02 02:52:53

"You cannot optimize values of the "SetSimPeriods" function" - it would have been extremely handy if this was optimizable as quite often during backtests, we have to manually do for various periods. For example, Nov 2013 to Nov 2014 and then Nov 2012 to Nov 2013 going back one year each.

QuantShare
2014-12-03 03:17:10

This will be implemented soon.

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