- ago
Here's a half-baked idea - I'd like to see a tool that analyzes technical events.

The tool does the analysis, and you only need to override a boolean function - let's call it DetectEvent() - that receives a BarHistory and a bar index to return true if the event was detected, otherwise false. Like a Strategy class, an Initialize() method is probably required.

Example:
Following some technical event, for starters I'd like to see a table with statistics after 1, 2, 3, 5 bars and/or 1, 2, 3, 5 days, like:
- lowest, highest, and average return
- number of observations
- dates of first and last observation
- etc.
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- ago
#1
One of the extensions which are in the "finantic extension pipeline" is able to do exactly this.

I plan to finish that extension within a few weeks.
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- ago
#2
The way it will work for the example above:

You write a strategy which enters a trade when your "Event" occurs and exits after N days.

You run a backtest on the datasets of your choice. The set of trades produced by the backtest are sent to the tool.

The tool will do all kinds of analysis and return all the answers you are interested in...
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Cone7
- ago
#3
Okay then. I'll look forward to seeing that!
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- ago
#4
So we already have the Indicator Profiler. This could be the Event Profiler.
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