Normal
I've wanted a way to do Rolling Backtests for a while, and recently got some inspiration when reading the documentation about the Amibroker Object Model:[URL unfurl="true"]https://www.amibroker.com/guide/objects.html[/URL]Excerpt:Tomasz has an interesting definition of human-readable and self-explanatory. But lo and behold, I worked it out after a lot of hacking ?I've attached a Powershell script to accomplish a rolling backtest across start and end years with a give step size. Sort of analogous to walk forward but without the optimization.I've put a lot of documentation in the script header, but ping me if you have any questions.Hope this helps...
I've wanted a way to do Rolling Backtests for a while, and recently got some inspiration when reading the documentation about the Amibroker Object Model:
[URL unfurl="true"]https://www.amibroker.com/guide/objects.html[/URL]
Excerpt:
Tomasz has an interesting definition of human-readable and self-explanatory. But lo and behold, I worked it out after a lot of hacking ?
I've attached a Powershell script to accomplish a rolling backtest across start and end years with a give step size. Sort of analogous to walk forward but without the optimization.
I've put a lot of documentation in the script header, but ping me if you have any questions.
Hope this helps...
Hello and welcome to Aussie Stock Forums!
To gain full access you must register. Registration is free and takes only a few seconds to complete.
Already a member? Log in here.