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Vary the Start Date of a Trading System Simulation

by QuantShare, 2620 days ago
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Every trading system you develop must be thoroughly tested to ensure that it is robust enough to continue outperforming the market in the future. One of these tests consists of changing the simulation or backtest start date and verifying that this doesn't affect the strategy performance. By changing the start date, some trading systems will see their return or maximum drawdown measures decrease dramatically and it is of capital importance to detect these systems and avoid them.

This money management script allows you to test the robustness of a trading system by ignoring the first trades that occurs in the first N-bars you specify. Once added to a trading system, the script will add a new money management variable (lag) that you can change and optimize to conduct your tests.

For example, if the simulation of your trading system is set to start on January 1, 2010 then setting a "lag" value of 5 makes it ignore any trade that occurs before January 5, 2010.

To optimize the "lag" variable and thus create several backtests where each one starts at a different date.
Click on the icon next to "Optimize" then update the "From", "To" and "Increment by" fields.
To start the optimization, click on "Optimize" button (instead of "Simulate").

More information about this money management script can be found here:
How to build and backtest a robust stock trading system



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Type: Advanced Money Management

Object ID: 1182


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.