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Testing Z9 starting in 2009? #468395
10/02/17 22:20
10/02/17 22:20
Joined: Sep 2017
Posts: 235
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Hredot Offline OP
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Hredot  Offline OP
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Posts: 235
The test function only shows trades starting in 2012 for Z9 system.
Is there a way to move the starting period to 2009 and see the performance there?
All the assets in use have enough historical data to accomodate a test in 2009 and perhaps even earlier.

Last edited by Hredot; 10/02/17 22:25.
Re: Testing Z9 starting in 2009? [Re: Hredot] #468407
10/03/17 11:08
10/03/17 11:08
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Posts: 27,982
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,982
Frankfurt
I believe there was a reason for 2012 - possibly earlier data was not available from AV or Stooq.

Re: Testing Z9 starting in 2009? [Re: jcl] #468408
10/03/17 12:58
10/03/17 12:58
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Hredot Offline OP
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I used the ZHistoryEditor to double check when the data starts:

CSJ.t6 starts on 2007.01.11
HYG.t6 starts on 2007.04.11
ITB.t6 starts on 2006.05.05
SMH.t6 starts on 2005.02.25
SPY.t6 starts on 2005.02.25
TLT.t6 starts on 2005.02.25
XBI.t6 starts on 2006.02.06
XLI.t6 starts on 2005.02.25
XLV.t6 starts on 2005.02.25

My data was downloaded automatically by the script, so I assume we have the same source. The latest data starts on 2007.04.11, which is more than one and a half years before 2009. Surely there should be a way to test Z9 starting from 2009? (The dual momentum strategy advocates a lookback period of 1 year.) Is there anything I can adjust from outside the script to achieve that, or is that handle hard-coded in the compiled script and nothing can be done? Perhaps the Z systems could be made to load starting dates from a file for testing in the future?

Last edited by Hredot; 10/03/17 13:09.
Re: Testing Z9 starting in 2009? [Re: Hredot] #468457
10/05/17 10:07
10/05/17 10:07
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jcl Offline

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jcl  Offline

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Posts: 27,982
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That's right. I believe the start date was determined with a larger portfolio where one of the ETFs started only 2009. I've made a notice to push the Z9 start date back.


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