Dataminer - screenbacktest - test x numbers of rankingsystems

[Whycliffes]

I have created 100x RS, that I want to test in Dataminer and the screenbacktest.

How do I create a input for the 100 backtest screens with different RS inputs? Just duplicate the input and change the RS “Ranking” name? :

####################################################################################

The ScreenBacktest operation is basically the same as the ScreenRun operation

except that the screen is executed multiple times at the intervals set by the

Rebalance Frequency parameter for the period defined by the Start Data and End Date

and the returns are calculated for the screen’s holdings.

Below is an example of a screen backtest which will:

- Start with the US All Fundamentals universe.

- Buy the top 20 microcap value stocks which are showing strong momentum.

- Run the test for the past 10 years and rebalance every 4 weeks.

- Set the price of the stock to the average of the high and low price on the

buy/sell date and add .25% ‘slippage’ cost to the transaction.

####################################################################################

Main:
Operation: ScreenBacktest
On Error: Stop
Settings:
Start Date: 2006-01-01
End Date: 2023-05-01
Rebalance Frequency: 4Weeks
Slippage: .25
Ranking: ‘1’
Universe: 1. Pareto - US CANADA volumfilter
Max Pos Pct: 25
Max Num Holdings: 25
Benchmark: IWM
Trans Price: AvgHiLow
Rules:
- MedianDailyTot(91) >( 70000) and price > 0.5

Main:
Operation: ScreenBacktest
On Error: Stop
Settings:
Start Date: 2006-01-01
End Date: 2023-05-01
Rebalance Frequency: 4Weeks
Slippage: .25
Ranking: ‘1 - Copy’
Universe: 1. Pareto - US CANADA volumfilter
Max Pos Pct: 25
Max Num Holdings: 25
Benchmark: IWM
Trans Price: AvgHiLow
Rules:
- MedianDailyTot(91) >( 70000) and price > 0.5

[yuvaltaylor]

@Whycliffes

How do I create a input for the 100 backtest screens with different RS inputs? Just duplicate the input and change the RS “Ranking” name?

Yes, exactly. Each iteration can use a different ranking system that way.

[Whycliffes]

@yuvaltaylor

Each iteration can use a different ranking system that way

Yes, but when using the code above, which has two “Main”, with different RS “1” and " ‘1 - Copy’, the output still only shows one screen performance test ?:

[danp]

The ScreenBacktest operation in the DataMiner doesnt have the capability to be run for multiple ranking systems. The output has 3 sections and a lot of rows of data so dumping them one after another in a very long file would be difficult to use.

[Whycliffes]

Why not make something like the rolling-screen iteration and output?:

But I understand you correctly that it’s not possible to test multiple RS systems in any other way than “Rolling screen” and the RS “performance” solution?

[danp]

Would this meet your needs? → Modify the screenbacktest operation in DataMiner so that it has the capability to specify multiple Iterations like RollingScreen does. If any iterations are used, then it would only return one row for each backtest. That row would have the data that is currently in the top section (of the 3 sections) included in the results from the current screenbacktest operation. Like this:

Please go to Resources, Feature Requests and create a request so we can get feedback from other users so we can determine the demand for this.

[Whycliffes]

Yes, that would be perfect!!

Here is the request for others to vote: Multiple screenbacktest