I have a bit of an issue with the backtesting of my system. Let me try to explain.
Basically I would like to backtest a specific date / set of days. But in my script I use, for example, let's say a 200 day simple moving average. This would require ofcourse to load a minimum of 200 days. In my backtesting input parameters I then would have to set the start-date to today-200 days in order to get a correct 200SMA value.
Because if I backtest on, let's say only 5 days, then I dont get the correct 200SMA value.
But this would also mean that the results of the backtest are based on that 200 days of trading! I don't want this. Basically I would like to load the 200 days of data but would like to select a specific date-range to test on.
Is this possible?
So if I would like to test from March 1st to March 5th, then the load results should be at least 200 days (for the 200SMA) from March 1st back + the 5 days to March 5th.
Hope to hear from you.
Thanks.
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