Using Precomputed Limit-Up Factors in Backtests

Summary

This forum exchange explains how to use a platform’s precomputed limit-up or limit-down factor in a stock backtest. The motivating problem is that adjusted closing prices cannot be directly compared with actual daily price limits, which are quoted in unadjusted prices.

The suggested workflow is to add the needed factor to an input feature list, merge those features with the stock ranker’s predictions, sort the combined data, and pass it to the trade module. The factor can then be accessed in the strategy’s main function. The post points to a shared strategy as a demonstration, but does not reproduce its implementation or report backtest results. It is a brief platform-specific exchange, so users may need to adapt the connection steps to their own workflow.

Key ideas

• Adjusted closing prices cannot be directly compared with actual daily price limits.
• Add required precomputed factors to the backtest input feature list.
• Merge the factor data with stock ranker predictions before passing the combined data to the trade module.
• The strategy’s main function can then use the factor.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.