I would like to backtest a strategy with an ATM strategy that is capable to add up or substract positions depending on MFE or MAE information. But I think that this is not possible when backtesting.
Is there any way to use MFE or MAE data on a strategy when backtesting?
I need to do this because one of the most important things when backtesting or optimizing a strategy, is to find a good money management performance. If it's not possible to backtest this kind of data, I think that MAE and MFE information gived in the backtest summary of NT is not really useful.
Regards,
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