3 nice ideas for Retest on Additional Markets



Nowdays we know that Additional Markets are very important like Robustness test. Should be a good idea to fix the Retest on Additional Markets a bit?
1) After having retest for example 28 pairs, if i add a tast "Filtering"  is not possible  becouse in Filter task it is missing the Cross check section ( Check passes if at least "x" of these conditions pass for at least "x" markets ) so would be nice to add it maybe?
2) When we test additional markets task we have to run the test under one market the so called main, this one is not included in the Cross check - Backtest on additional markets.
Using ticks to test, it is a no sense to use the main pair. Also becouse i workaround this adding for the second time that pair into the list of additional markets to be retested.
3) Ranking by portfolio it include also the main pair! so this pair, that is NOT taken into consideration by the Cross checks Backtests in additional markets, it is taken into  consideration by Portfolio Filtering. (in my case, since i have added it also in additional markets, it is included 2 times! ) 

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  • Votes +5
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

l
#1

Loonly

09.02.2022 14:54

Task created

l
#2

Loonly

09.02.2022 14:54
Voted for this task.
DC
#3

anuffi

10.02.2022 04:02
Voted for this task.
E
#4

Emmanuel

12.02.2022 06:36
Voted for this task.
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#5

bentra

18.03.2022 18:38
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b
#6

bentra

18.03.2022 18:45
I think that it might be a possible alternate solution to solve  #2 and #3 with this:
https://roadmap.strategyquant.com/tasks/sq4_8703
(Specific risk sizing for each crosscheck symbol)
For instance, could run half risk on the main data and half risk of the same symbol as an additional market in this way we get to test the main data symbol as an additional market AND not have a bias towards it inside the portfolio KPI. 

AA
#7

Alex

13.09.2022 10:27
Voted for this task.

Votes: +5

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