Should be nice to have a multiple strategy backester that allow to test at once an arsenal of well test strategies. Given the possibility to perform a multiple strategy optimization (with walk forward capability). Please find attached, as sample, the Bloomberg's implementation. I think that MC can do much better! (with more metrics).
Regards,
Danilo
Feature request: Multiple strategy backtester
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Dave Masalov
- Posts: 1712
- Joined: Apr 16 2010
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Dear Danilo,
Your feature request has been forwarded to the developers.
Your feature request has been forwarded to the developers.