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Backtest Scenario

Backtest Scenario. Scenario File. Every solution has Scenario file with MyScenario class derived from Scenario class defined in the API.Engine The Run button calls MyScenario.Run () method . This method can can be extended by users

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Backtest Scenario

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  1. Backtest Scenario

  2. Scenario File • Every solution has Scenario file with MyScenario class derived from Scenario class defined in the API.Engine • The Run button calls MyScenario.Run() method . This method can can be extended by users • By default MyScenario.Run() calls Scenario.Start() that starts the solution

  3. Configure Solution Programmatically • Solution.StartDate = new DateTime(1995, 1, 1); • Solution.StopDate = new DateTime(2001, 1, 1); • Project project = Solution.Projects[0]; • project.AddInstrument(instrument); • project.Parameters["Length"].Value = 14; • Start();

  4. Batch Backtests • Read sets of parameters from a file • Loop • Set parameters • Start() • Write results

  5. Walk Forward Backtests • Loop • Set in-sample data interval • Optimize • Set out-of-sample data interval • Start();

  6. Monte Carlo Backtests • Read original market data series • Create and set MC instrument • Loop • Clear historical data • Prepare MC data from original data series • Write MC data to historical db • Start() • Store results • Build MC distribution

  7. Continuous Backtests • Set interval (Date1, Date2) • Start(); • ResetOnStart = false; • Set parameters • Set interval (Date2, Date3) • Start(); => continuous results (Date1, Date3);

  8. From Backtest to Live trading • Set interval (Date1, Date2) • Start(); • ResetOnStart = false; • Start(Mode.Live);

  9. Custom Optimization • Loop parameters • Set parameters • Start(); • Objective = Solution.Portfolio.GetValue(); • Set best parameters • Start();

  10. Custom Backtest Reports • Start(); • Write • Solution.Portfolio.GetValue(); • Statistics.AnnualReturn • Statistics.Duration • Statistics.FinalWealth • Statistics.LongTrades • Statistics.LongTradesPnL • Statistics.LosingLongTrades • …

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