Back Tester Overview
Overview
The Optuma Back Tester combines the power of the Scanning Manager and Trade Tracker into one module that will provide a fast and simple method for evaluating your trading plans.
The Back Tester is accessed from the Searches menu.
Simply enter in your strategy criteria, the security code you want to test and the desired date range, and Optuma does the rest.
The Back Tester can be broken up into several sections:
Saved Tests
The Saved Tests section lists all previously created / saved tests.
From this window, you can select an existing test, set up a new test using the New button, or delete an existing test by mousing over the name and clicking the X.
Setup
The Setup tab allows you to specify particular elements of your trading strategy. There are four elements to creating a test:
- Test Type: Select between Signals or Re-balance.
- Long / Short: Select between Long Only, Short Only or Both.
Security Selection
- Back Test On: The test can be run on multiple codes (such as exchanges or workbooks) for Professional Services clients, or single codes for Trader Services.
- Codes to Test: If you have a Trader Services subscription then you will only be able to select a single code. For clients that have a Professional Services subscription then you can select entire exchanges, sectors, or workbooks. Favourites can be created by clicking the star beside an exchange or sector.
- Date Range: Designates the time span the selected test will be executed for. As an example, setting the time frame to Last Week will test your trading plan over the last 7 calendar days of price activity. The following time frame options are available: Everything, Today, Yesterday, Last Week, Last Fortnight, Last Month, Last Quarter, Last Year, Last 5 Years, Last 10 Years, or a user-defined Date Range.
- Data Timeframe: Lets you nominate the timeframe or period of the data that you are executing the strategy test on (e.g. daily, weekly, or custom).
Comparisons
- Comparison Code: Allows your results to be compared with a second security.
- Interest Rate %: The risk-free rate of return used for the Sharpe Ratio calculation.
Test Rules
- Enter Trade Price: Determines whether the trade entry gets executed at the time of the signal, close of the signal day, or at the open of the next day.
- Exit Trade Price: Determines whether the trade exit gets executed at the time of the signal, at the close of the signal day, or at the open of the next day.
- Position Sizing: Used to determine the amount to invest for each trade. The following options are available:
- Fixed (number of shares)
- Equity Percentage
- Percent Risk (allows a Percent Stop to be placed)
- Percent Volatility
- Percent per Trade: Sets the percentage amount to allocate per trade.
- Brokerage Model: Option of set value (eg $20) or percentage of trade value
- Brokerage: Sets the brokerage value or percentage level
- Max Pyramid Trades: The number of times to double up on a trade if multiple entry signals are triggered
- Scale In Days: The trade entries will be spread out evenly over the number of scale in days (Pro Services Only)
- Scale Out Days: The trade exits will be spread out evenly over the number of scale out days (Pro Services Only)
- Min Hold Days: Even if triggered, the trades will not be exited until the minimum hold days have passed (Pro Services Only)
- Min Wait Period: The time period to wait after exiting a trade before entering again
- Max Hold Days: This property provides support for a maximum number of days a trade can remain open before it is closed, even if the exit or stop loss targets are not met. This value is represented as Calendar Days. If the max hold period occurs on a weekend the trade will be closed on the closest trading day. Note: If this setting contains a value, an Exit criteria / Stop Loss Criteria is not required to run the test.
- Close All Positions: Tick the box to close all positions after the last day
Account Information
- Initial Balance: Trading account balance
- Capital Risked %: The percent of initial capital risked (Pro Services Only)
- Buy on Margin: Tick box to allow entries on margin (Pro Services Only)
Entry and Exit Criteria
The Entry Criteria window displays the criteria the selected Back Test will use to determine an entry point.
From this window, criteria can be added to or removed from the selected test.
The Exit Criteria window displays the criteria the selected Back Test will use to determine an exit point.
The criteria will be listed by name. Left-clicking on the criteria will open the Script Manager where the settings used can be adjusted.
From this window, criteria can be added to or removed from the selected test.
Stop and Target Criteria
The Stops window displays the criteria the selected Back Test will use to determine a Stops calculation (such as a percentage or point stop).
The criteria will be listed by name, left-clicking on the criteria will display the parameters which can be adjusted accordingly.
The Targets window displays the criteria the selected Back Test will use to determine a Target calculation (such as a percentage or point target). The criteria will be listed by name, left-clicking on the criteria will display the parameters which can be adjusted accordingly.
Results
Once the Back Test has been set up accordingly, click the Test Strategy button to execute. Once complete, the Results tab will show a summary of how the strategy would have played out, including the amount of profit or loss. An Equity Curve and Profit Factor Analysis will also be displayed.
NOTE: The Equity curve starts to plot from the 1st date selected in the Back Test rather than the 1st trade. This adjustment will help you identify whether a back test takes a long time before your first entry is made.
Report
Selecting the Report tab will provide a detailed statistical report of all trades, including number of trades, win/loss ratio, drawdown details and average profit and loss. See the Back Tester Results article for more detailed information on the Results tab.
