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MathGroup Archive 2002

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help on backtesting

  • To: mathgroup at smc.vnet.net
  • Subject: [mg35155] help on backtesting
  • From: burd at gmx.net (Oleg)
  • Date: Thu, 27 Jun 2002 00:23:19 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

Dear Group, 
may be you can help me.
I'm trying to model backtesting for arbitrary stock trading system in
Mathematica. I choose Mathematica hoping that issues like complex
stochastic strategies etc can be easily implemented. The advantage I
was loking for was speed. However I'm experiencing problems with
trivial issues like keeping track of trading position, stop loss
limits etc. Have somebody ever done smth like this? Any help and
advice would be appreciated.
Thx and have bull markets,
Oleg.


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