Author Topic: Backtest additional settings like in PTL Trader  (Read 3336 times)

Douglas Goullet

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Backtest additional settings like in PTL Trader
« on: February 23, 2015, 11:18:51 am »
In PTL trader we have some additional filters like, donĀ“t close a trade if you are not making at least $5. It would be good to see how this affects back testing. Back testing intra day would be great ( as PTL trader has this option) but I realize it could be too data intensive. Maybe for now just recording your Z score entry in PTL Trader would be good, as you can compare this to end of day entry results. Thanks.

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Re: Backtest additional settings like in PTL Trader
« Reply #1 on: February 24, 2015, 05:32:10 am »
We plan to implement these rules to backtester engine too. But the problem is that rule you mentioned (min profit potential) works good only for Ratio model. For Residual model it does not work so good and for new models (like Kalman) I have no idea how to implement them.

I think that we will support the profit potential rule for Ratio model only, at least until we figure out solutions for others.

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Maybe for now just recording your Z score entry in PTL Trader would be good, as you can compare this to end of day entry results.

AFAIK we already record z-scores in PTL Trader (in pair trade log).