Compare 2 data ranges in Performance Visualizer?
Author: tradercn
Creation Date: 1/9/2012 3:54 PM
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tradercn

#1
I just finished Creating-Performance-Visualizers-in-Wealth.pdf. There is a question here.

I want to backtest a dataset in two ranges. For example, the first period ranges from 2002 to 2006, and the second period ranges from 2008-2011. I want to run the strategy once (ranges from 2002 to 2011) to get the comparison between the two above periods. Is that possible to write a Performance Visualizer to do that? Thanks.
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Eugene

#2
Everything is possible. But a Performance Visualizer (or PosSizer, or Optimizer etc.) always executes over the currently selected data loading range.

You might want to perform the two backtests independently by manually selecting different data ranges, storing the SystemPerformance/SystemResults in a class-level collection or a disk file (for example), and then performing the comparison somehow using the collected data.
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tradercn

#3
Great idea! Thanks.