Posted By: 7th_zorro
sub group backtesting - 09/22/21 04:39
Hello.
Does series() function must be called every assets even if some assets does not traded some period of time?
For example,
If I want trade 1,000 assets, I want to test every year with different asset group.
But zorro forced to calculate all assets even though the assets does not trade that specific year.
As a result, backtesting time increased unrealistically.
How to avoid this problem?
I want to test different sub group at every years.
Does series() function must be called every assets even if some assets does not traded some period of time?
For example,
If I want trade 1,000 assets, I want to test every year with different asset group.
But zorro forced to calculate all assets even though the assets does not trade that specific year.
As a result, backtesting time increased unrealistically.
How to avoid this problem?
I want to test different sub group at every years.