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                                                   Export Aggregate Case Results for Optimization

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Scott
2015-10-08 13:54:38


I am back-testing various trading strategies and am running simulations by running ranges of various parameters/indicators. At the top of the simulation report window you get the line by line results of each case within a simulation run (annual return, sharpe ratio, % winners, variables a, b, c, etc). Is there a way to export those to a file for further analysis. I'd like to go to Excel and compare annual return or sharpe ratio, for example, vs individual variables. I see where you can export the results of an individual case within a simulation, but how about exporting the aggregate results of all the cases (be they 40 or 400) within a simulation run.


Barbecue
2015-10-08 15:38:47

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Scott, once you finish an optimization run, go back to the simulator, select the system and go to Tools -> Optimization Report


Scott
2015-10-08 16:19:26

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Thanks, Barbecue. I'll give this a try when I get home tonight.


Scott
2015-10-08 22:31:42

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Sorry, Barbecue, when I go back to the simulator the only tools menu item I see is after I select the system in manage items (button with folder at bottom of the simulator pane) and if I click that I only get the following options in Tools "Copy Item", "Import items from another Account," "Encrypt Checked Items", "Decrpyt Checked Items" and "Show/Hide Creation Date". On the report pane where all the simulation results are listed for an optimization run, I see the report button on each line reporting a simulation result but that only gives me the details of that single simulation case within the whole set of simulation cases that make up an optimization run. I want to export the metrics (annual return, sharpe, etc) and variables optimized for ALL of the simulation cases that make up an optimization run. What I really want to do is similar to just pasting and copying all those lines in that uppermost pane into an Excel spreadsheet for analysis. Is there a temp file somewhere where these results would be stored?


QuantShare
2015-10-09 02:34:42

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In the simulator manager, click on the "+" icon on the top to expand the menu and display the "Tools" option.


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