jshade5

Gainzy Intraday Algo Comparison Backtester

This is an internal backtest framework for a comparison of multiple proprietary algorithm. Return on account can be broken down by algorithm by different time intervals and session times. It is also possible to view each algorithm's performance against "buy & hold" performance. Commission can also be modified to reflect true commission or additional commission fees can be added to reflect implied slippage. Feel free to use this as a demo for your own backtest frameworks. A solid backtest framework will allow you to optimize your algorithm and spot over/under achievers within a market sector.

The teal trendline represents the Gainzy LRAIC Algorithm found here:
The maroon trendline represents the Gainzy Intraday Momentum Algorithm found here:
The black trendline represents "buy & hold" performance.

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