Posted By: Brax
Backtesting OptimalF - 08/02/17 11:41
Hi,
I´m trying to backtest a simple daily mean reversion system on EURUSD, so i apply optimalf for each trade as a money management tecnique.
The problem is that the applied optimalf factor is always the same, the last one. I´d like to dinamically apply it on the go, as the trades are executed and the equity curve ir created in my backtest.
I don´t see this type of mechanism in Zorro, or maybe i´m not able to find it.
The only similar thing i´ve thought of, is coding the kelly factor and apply it.
¿Is there a simpler way to reproduce this in Zorro?
Thanks in advance.
I´m trying to backtest a simple daily mean reversion system on EURUSD, so i apply optimalf for each trade as a money management tecnique.
The problem is that the applied optimalf factor is always the same, the last one. I´d like to dinamically apply it on the go, as the trades are executed and the equity curve ir created in my backtest.
I don´t see this type of mechanism in Zorro, or maybe i´m not able to find it.
The only similar thing i´ve thought of, is coding the kelly factor and apply it.
¿Is there a simpler way to reproduce this in Zorro?
Thanks in advance.