IS/OS testing and access to monthly trade data.

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  • #79881
    jeffpanc
    Participant

    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

    #79915
    Alexander Horn
    Keymaster

    Hi 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/

    #79993
    jeffpanc
    Participant

    Hi 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,
    Jeff

    #80015
    Alexander Horn
    Keymaster

    Yes, 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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