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At the moment, the
only way that I can do scenario testing is to use the optimize feature of
AB
However, there are
many times that I do not need to regenerate the signals per run. The scenarios
only require the
Backtester to take
the trade in a different way. For example
Monte
Carlo
position sizing
scenarios
using different
ranking scores
margins
scenarios
I have tried looping
the backtester; ie, running the custom backtester multiple times, but instead of
getting multiple row of results - one for each test, just like the optimization,
I get additional fields tagged on at the end. Not quite what i wanted. And
i cant use the optimzation graph program either.
I can see the
improvement in speed thousands of times if we can allow customization of
optimization just like we do with backtesting.
Has this been
suggested to Tomasz before?
Does anybody see it
the same way?
Paul
Ho
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