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PostPosted: Wed Jun 29, 2011 1:39 am 
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Joined: Wed Jun 29, 2011 1:31 am
Posts: 6
We’d like to create ‘dynamic groups’ to make for more efficient backtesting. For example, we have a very granular tick database (order identifiers, flags, etc), but we don’t want to test 500 symbols on tick data. For example, we'd like to use daily bar conditions to prefilter stocks each day during the backtests, then just test those stocks using the tick data each day. Do you have any suggestions (which classes to look at, etc) on how to make this happen?

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PostPosted: Wed Jun 29, 2011 9:06 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6808
Hi,

you can try use scenario functionality to do this.

viewtopic.php?f=64&t=8627
viewtopic.php?f=64&t=8636

Do you use different startegies to pre-select instruments with daily data and to backtest on ticks?

Regards,
Anton


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PostPosted: Wed Jun 29, 2011 5:59 pm 
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Joined: Wed Jun 29, 2011 1:31 am
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Yeah, the strategy filter on the daily bars would be different.

Example, say you only want to examine tick data for a higher frequency strategy on stocks that have been down X days in a row on a daily time frame bar to avoid testing on tick data for the 99% of stocks that do not meet this criteria.

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PostPosted: Wed Jun 29, 2011 6:17 pm 
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Ah, then you can not use scenario feature in QD. Pity :)


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