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Im trying to see if i can backtest a pair trade like buying a stock and simultaneously shorting an index. Im sure there is a way to do it, I just have not invested the time to figure it out.
Do you offer any statistical data on the portfolio, like:
- what symbol (or set of "x" symbols, in their "decreasing" order) had the highest (daily, or otherwise specified timeframe) gain ?
- what symbol (or set of "x" symbols, in their "decreasing" order) had the highest (daily, or otherwise specified timeframe) loss ?
- What was the lowest / highest daily spread or volatile/liquid and the list could go on.
This is likely not available, but if you apply an indicator to each and every symbol, it should not be difficult to offer aggregate stats on on the portfolio itself.
Are there any plans to add such capabilities ?
that's true, but how scalable is this solution ?
I would be glad to be proven wrong, but I don't see too much flexibility in the existing MC Portfolio backtester. Things nice to have:
- Aggregate functions capability
- Access to these functions from within each instrument's execution signal thread
- Definable inter-dependencies/logical connections between specified portfolio members
- Scalability (how fast will it work with 500+ instruments)