I Know First Algorithm Performance Analysis: Part 1 of the backtests (updated)
Date: 09/21/2014
We are now exploring the possibility of managing a hedge fund. To get an idea of potential profitability, we are developing and conducting backtests.
The system forecasts multiple stocks, each in six different time ranges, and each signal comes with the predictability. The number of variables per stock is 12, and we have hundreds of stocks to consider. Thus there is a multitude of possible ways to trade this system. We do not know of any standard backtest that fits our system, and have to develop our own.