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I want to run a backtest with multiple symbols, but I don't want to treat them as being part of the same universe or portfolio. That is, I want to run a complete Backtest with SymbolA only, then another with SymbolB, SymbolC, and so. Optimally, I wouldn't have to manually kick off a new backtest for each symbol; and super-optimally, I'd somehow be able to compare the results of the backtests.
Any suggestions, or ideas?
I've tried putting a loop in the Initialize to set and reset the start/end dates, cash amount, etc. But, it doesn't seem to work right. Maybe I'm coding something wrong, but from what i can tell, I can't loop in initialize(), so I'm wondering if there's another better way.
Alexandre Catarino
At this moment, we cannot make any optimization with Lean with one single instance. In other words, we have to rerun the algorithm for every backtest. When we loop in Initialize(), we just override the previous set up and subscribe more symbols.
We have been working to support Optimization in the QC.com. We will be able to run backtests in parallel and automatically compare the results.
TedVZ
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