Backtesting Replication Update
This new "Replicate" button, located right next to the actions menu, opens up a world of possibilities for refining backtests without starting from scratch. Whether you're tweaking rebalancing schedules, adding risk controls, or experimenting with secondary studies, this update streamlines the process and unlocks advanced signal creation. Below, we'll break down the key features, with a focus on measure trace replication as highlighted in the video, and touch on what's coming next.
Replicating Strategies: Enhanced Customization and Risk Management
For strategy backtests, the replication tool allows you to modify core parameters on the fly. Here's what you can do:
Adjust Rebalancing Schedules: Switch from monthly to weekly, daily, to test how timing impacts performance.
Implement Buying Regimes or Stop Losses: Integrate risk controls by selecting from your existing backtests (those which contain signals). This can help reduce drawdowns by applying conditional buying rules or automatic sell triggers.
Position-Level Stop Losses: Add trailing stops as a measure of risk control.
Logic Gates via Screeners: Use another screener tab as a filter to gate exits out of your portfolio, adding an extra layer of decision-making logic.
These options transform how strategies handle volatility, making it easier to build robust, risk-aware portfolios.
Replicating Measure Trace Backtests
Clicking "Replicate Backtest" (right next to the Actions menu) brings up a form where you can make targeted changes:
Replace the Ticker: Quickly swap out the underlying instrument. For instance, switch from SPY to IWM (Russell 2000 ETF) or QQQ (Nasdaq-100 ETF) to apply the same measure across different assets. This saves time compared to rebuilding from the stock screener.
Add a Secondary Study: Introduce or adjust additional indicators, like a 50-day moving average, directly into the backtest without rerunning the entire setup.
Swap Primary and Secondary Series: A game-changing feature that's new to the system. You can replace the primary measure (e.g., GEX) with the secondary one (e.g., the 50-day moving average of GEX). This enables "secondary derivatives," such as calculating the nominal change over a rolling 5-day window on the GEX moving average.
This approach opens doors to novel signal classes, like trend-following regimes on derivatives of measures.
Getting Started and Limitations
To use replication:
It works on new backtests or those set to run daily (and have run today).
For older backtests, simply click "Run Once" to refresh them.
Tooltips will appear on these screens for the next couple of months to guide you.
Note that default strategies like Millennium Alpha or Enterprise aren't replicable yet due to their unique engines and internal logic. However, future updates will make them customizable—think passing your own parameters or modifying with custom ETFs.
Looking Ahead: API Access and Beyond
Soon, we'll introduce API access, enabling you (or your AI agents) to launch backtests and build strategies programmatically, bypassing the visual interface entirely. This will make the system more flexible for advanced users and automated workflows.
This update is a significant step toward more efficient, creative backtesting. We encourage you to experiment with replication—try swapping Tickers, layering studies, or building secondary derivatives to see what insights emerge. Stay tuned for more videos unpacking these features, and as always, keep in touch with your feedback.
Thanks for reading and, as always, Happy Investing!
Andrei & Signal Sigma Team