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I typically run back tests for multiple years but when I want to get annual,
quarterly and monthly totals it means that I have to run an separate back
test for each sub period's totals.
Does anyone have a method or suggestion to get the kinds of totals produced
by the back tester (Sharpe Ration, CAR, etc) on a monthly, quarterly, annual
basis while running a single multi-year back test?
TIA
d
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