How to backtest a Seasonal Spread with an indicator Support for strategies module

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paqui
 
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How to backtest a Seasonal Spread with an indicator

by paqui » Fri Oct 24, 2014 11:17 pm

Hello Roman,

I would like to backtest both outright and seasonal spreads with additional indicators if at all possible. For example, let's say we use the spread SF15-SK15. As it is, it works well only in the latest 10 years in backtesting, but right now it is 3SD above its normal behaviour. I would like to do a new backtest only including the years in which this spread was 3SD above its normal behaviour. Is this possible? If not, when?

Roman
 
Posts: 145
Joined: Tue May 14, 2013 12:59 pm

Re: How to backtest a Seasonal Spread with an indicator

by Roman » Sat Oct 25, 2014 8:57 am

Hi, currently it's not possible. But I have on my roadmap improvement of advanced backtester which includes indicators. My rough guess is Q1Y15.

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