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Hello,
I want to test a cointegration pair trading algorithm, but I want it to test accross multiple pair. How can I input (passing by parametesr) some equities pairs.
Example:
1 - Stock_1 vs Stock_2 => Run backtest 1 => Get Result 1
2 - Stock_1 vs Stock_3 => Run backtest 2 => Get Result 2
...
N - Stock_N vs Stock_N+1 => Run backtest => Get Result N
And then, base on on the result, pick the best one.,
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Derek Melchin
Hi Reginald,
Each backtest would have to currently be run individually. We are working on integrating a parameter optimization feature. It should be available shortly.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Reginald Louis
Excellent,
Can you elaborate more on how this feature will work (on a high level)?
Derek Melchin
Hi Reginald,
The feature will work by setting parameters for the backtest. The backtesting engine will then run iterations of the backtest, changing the parameter value on each iteration.
For the first prototype, we'll simply display the results in a searchable, sortable grid. Later, we'll include some kind of "parameter to target value" charting for testing sensitivity.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Reginald Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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