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Archive for the ‘Backtesting’ Category

The Big Backtest Model

In Backtesting on January 19, 2014 at 3:25 pm

I’ve spent the last month putting together a big backtest model.  One Excel spreadsheet, with time series OHLC data and lots of different strategies in each column (long, short, exit, position size rules) including different iterations of each strategy, e.g. Strategy A, Fade Strategy A, Strategy A with a direction filter, Strategy A with a direction filter and position sizing, Strategy A with a direction filter and position sizing and pyramiding, Strategy B…

I can then load all sorts of data into the model: hourly, daily, weekly, multiple currencies, currencies and metals, equity indices, ETFs, etc.  Previously I had built models for one particular strategy or data series at a time which was interesting in isolation but difficult to compare across timeframes, across markets, and to other strategies.

After a month I now have a good working model with about 50 iterations of about 20 strategies.  Broadly the strategies fall into the following categories:

1. Trends – donchian, ATR stop trends, Chande Extraordinary Opportunity;

2. Candle Closes – long/short following a higher/lower close, long/short following a higher/lower close with a trend filter, follow two consecutive closes for third, fade 5+ closes in the same direction, etc;

3. Countertrend – fade envelope extremes, fade new high with a 1 day exit;

4. Moving Averages – single MA, double MA, price closing in reference to MAs, MA cross strategies, etc;

5. Buy and hold (long only no exits), Zero Hedge (short only, no exits), and Random – one of my favourites – a random number generator creates random buy signals 10% of the time and random sell signals 10% of time.

It’s been a fun process, not done yet, and I’m sure it will continue to evolve.  Maybe I’ll post some results or interesting observations.   (All of my limited free time has been going towards this which is why no weekly charts posts this year).

Have you got some ideas for strategies that I should add?  Do you backtest in Excel?  Shoot me an email or tweet or leave a comment.

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