Здравствуйте коллеги,
у кого-нибудь есть информация о Backtesting-Software в Interaktive Brokers? К сожалению тех. поддержка не отвечает на мои вопросы. Я попытался вручную проверить результаты Backtesting-a и реальные результаты вышли намного хуже чем в симуляции от IB. Вот моё письмо на IB:
„Summary: Date of rebalance set in the backtesting software
Hello, I'm trying to better understand the buy-sell signals from the Portfolio Builder. I have a question about the backtesting procedure.
What are the specified days of the week in backtesting software for weekly portfolio rebalancing?
Why does the composition of the portfolio change every day, despite entering «Weekly update»?
Is it tested on the assumption that each stock is held for at least a week from the day of the new buy signal, regardless of the day of the week? Or is it just Friday set in backtesting software for rebalancing?
And strategies with daily rebalancing: Is it tested with the assumption that a share is hold overnight or only during the day? Is it programmed that the buy and sell orders are always made at the same daily time? Which types of buy and sell orders are set in the Software for calculating a backtesting result? Is it the «best daily price», or the middle price of the day, or just the daily close / open price?
Thank you for the information.“
У кого-нибудь есть какая-то Информация по этому поводу?
