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Multi Instrument / Portfolio Strategy Backtesting Problem
Basically, I'd like to take the current Russell 1000 and backtest my rotation/portfolio strategy on a large chunk of 2000-2015. However, NT does not call OnBarUpdate() until there is data for all added instruments, even if code has been put in to avoid out of bounds errors.
What this means is any stock which has IPO'd or has been spun-off since 2000 has to be manually removed from the list of added instruments before the strategy will run at all, or if I leave all the instruments there, I end up with a really really short backtest. Removing the instrument from the strategy is simple enough, but finding a list of instruments I need to remove is more of a pain.
Does anyone know of any solutions/workarounds or is NT just not the right tool to be using for this?
Thanks in advance!
Can you help answer these questions from other members on NexusFi?
I use NT and Multicharts which has a great portfolio backtester, is called Portfolio trader
you can create your instrument list and run test with strategies