Backtesting Performance Improvements
Backtesting for individual strategies and portfolios has been re-architected for major performance improvements. On average, we are seeing a 10x speed increase, though this can depend on the nature and complexity of the strategies tested.
One second Intra-minute Stop Losses in backtesting
We have improved the Intra-minute Stop Loss feature (available for 0DTE tests) to use 1 second data, replacing the old method of using 1 minute OHLC data. This should result in higher accuracy of stop loss simulation during large moves.
Notes
- The toggle of "NBBO-only" versus "NBBO + Trades" is gone, as we now simply use 1 second quotes to determine intra-minute stops.
- Due to the increased data resolution, it is highly recommended not to use "Cap Losses" for IMSL.