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Trying to write a program that "A Backtest, would write the Top 50
performing symbols to a watch list". Similar to what you see after
running a "Individual Backtest" then "Report Explorer" and sorting
that report by the metric you desire and then keying the Top 50 to a
Watch list.
This would allow one to run IO Optimize on your portfolio, then
perform a Backtest on "Out of sample" but, on the recent best
performing stocks of your portfolio in a subsequent time frame. I'm
hoping you could do this as "Walk Foreword". Then reviewing the IO
Log files you could see how your system did over time with stocks it
favored.
Looking at the documentation put together by Dingo (thank you dingo)
on the Portfolio Backtester Interface (PBI) I've run some examples
that come close. I understand the 1st pass of Backtest generates a
list of the BUY/SELL signals for each symbol (as seen in AA when
running Individual Back test). The 2nd pass selects which of these
signals match the program/setting for BUY/SELL and executes that one.
My questions are where is the summary for each symbol , as seen in the
"Report Explorer" ? Not a summary of just "trades taken" but all
trades for that stock. If it exist, can it be sorted by a metric then
top 10% output to a Watch List ? Any solid code or pointers would be
appreciated.
TIA, Jack Kinsey
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