Hey there,
Has anyone figured out how to properly do pairs-based backtesting in 2000i?
I can plot charts, but insofar as doing backtesting I haven't figured out how to simulate execution in the secondary symbol.
I've thought about creating a synthetic symbol (the spread) for testing as if it were a normal symbol, but I haven't discovered a way to do it.
If you've got any pointers, I'd appreciate it.
Has anyone figured out how to properly do pairs-based backtesting in 2000i?
I can plot charts, but insofar as doing backtesting I haven't figured out how to simulate execution in the secondary symbol.
I've thought about creating a synthetic symbol (the spread) for testing as if it were a normal symbol, but I haven't discovered a way to do it.
If you've got any pointers, I'd appreciate it.