Home › Forums › Logical Invest Forum › IS/OS testing and access to monthly trade data.
- This topic has 3 replies, 2 voices, and was last updated 4 years, 2 months ago by Alex @ Logical Invest.
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- 08/28/2020 at 12:56 pm #79881jeffpancParticipant
Hi,
I just signed up for the free trial of QT. Very impressed with your service. I have been programming new strategies over the years but have wanted to find a tool that would provide me with the opportunity to spend less time programming and more time creating new ideas. I have a process I normally use when creating a strategy: Idea, Goals & Objectives, Preliminary Testing, Walk Forward Optimization, Monte Carlo Analysis, Forward Testing(Incubation), Position Sizing, Portfolio Diversification Analysis and then Live Trading and Monitoring. That’s a mouthful! Anyway, I’m wondering if it’s possible to do in-sample/out of sample testing and also get trade data for Monte Carlo analysis? In my quick (1 day) review of QT I didn’t see anything but I admit I haven’t been very thorough yet. Thanks for your time and effort.
Jeff
08/31/2020 at 2:46 am #79915Alex @ Logical InvestKeymasterHi Jeff,
like your process, very thoughtful! When you run Quanttrader it spits out a detailed allocation and performance report for each strategy in /data folder, these time series should be useful for your analysis, probably can import the csv into your own program
For a macro view you can also use the “performance log” and “ranking log” available from the backtest window, see here: https://logical-invest.com/quanttrader-application/portfolio-backtesting-builder-main-windows/
09/01/2020 at 3:34 pm #79993jeffpancParticipantHi Alexander,
Thank you for the response. I noticed there is an OOS and IS setting. Can I use these in some way to create a cross validation or walk forward test?
Regards,
Jeff09/02/2020 at 4:06 pm #80015Alex @ Logical InvestKeymasterYes, see here how it works: https://logical-invest.com/walk-forward-testing-avoid-curve-fitting-backtesting/
This feature is still work in process, but we’re actively using it.
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