Backtest Scenario - smartquant.com

Backtest Scenario - smartquant.com

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 By default MyScenario.Run() calls Scenario.Start() that starts the solution

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(); Batch Backtests

Read sets of parameters from a file Loop Set parameters Start() Write results Walk Forward Backtests Loop Set in-sample data interval Optimize Set out-of-sample data interval Start();

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 Continuous Backtests Set interval (Date1, Date2)

Start(); ResetOnStart = false; Set parameters Set interval (Date2, Date3) Start(); => continuous results (Date1, Date3); From Backtest to Live trading

Set interval (Date1, Date2) Start(); ResetOnStart = false; Start(Mode.Live); Custom Optimization Loop parameters Set parameters Start(); Objective = Solution.Portfolio.GetValue();

Set best parameters Start(); Custom Backtest Reports Start(); Write Solution.Portfolio.GetValue();

Statistics.AnnualReturn Statistics.Duration Statistics.FinalWealth Statistics.LongTrades Statistics.LongTradesPnL Statistics.LosingLongTrades

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