In my previous blog “Back-testing Strategies” I discussed how SAMOA back-tests a single strategy. SAMOA can also back-test a portfolio of strategies, through the function ssRunPortfolioS.
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- All the strategies are simulated at the same time. The events throughout all the strategies are produced chronologically.
- Besides from the strategy book, there is a portfolio book. All the calls to methods of the Book object are automatically duplicated into a portfolio book.
- The JScript has access to both the strategy book and the portfolio book during the simulation.
- Finally it’s possible to provide portfolio allocation schemas for the simulation.
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