Signal2Noise (S2N) News
Posts
#195: Custom Backtest Reports

#195: Custom Backtest Reports

micksonmatch
December 06, 2024

S2N Spotlight

I recently started coding some strategies in MT5. I noticed that the default backtest reports were full of metrics but missing crucial elements. As a product guy, I couldn’t leave it there, so for the last 10 days I have been working on building software, which is available for free on the MQL.com marketplace. If you are an MT5 user, give it a try and let me know what you think.

S2N Observations

I have a lot to get through today. Commentary will be sparse; the visuals should do all the talking.

I was speaking earlier in the week that I don’t know how the promoters of hedge funds and CTA investable indexes do it. Well guess who just registered a new ETF doing exactly that.

Roaring Kitty is back with one of his cryptic messages. We are living through very strange times. Of course that gave Gamestop a nice 5.95% pump.

Bitcoin traded above $100,000 yesterday and also proceeded to below it thereafter. With the Average True Range at $5,900 and 6%.

Just in case you were keeping score. The amount of gold ounces per bitcoin broke to a new record yesterday. While on the subject of Bitcoin. Saylor confirmed yesterday that when he dies, he will be destroying the keys to all his Bitcoin as his contribution to the community. I actually believe him. For him this is not so much about the money. He genuinely believes he is channelling divinity with his beliefs.

I have been saying for more than a week that I think the Fed has stopped cutting; the 2-year seems to agree with me. The orange line is the Fed Funds rate.

The Fed’s Balance Sheet continues to contract. I am not sure for how much longer, but I think Powell will walk away with quite a legacy. He certainly impressed me the most out of all the chairmen of the last few decades.

I read David Rosenberg’s latest post about his reflections on why he has been so wrong as a bear. Rosenberg is one of the highest-rated economists on Wall Street for many years, even though he is in Canada and is an independent. I used Wall Street for effect, or to sound sophisticated.

You have to believe that must be one of the most classic bear market signals when a perma bear throws in the towel. If you are interested, he thinks he may be wrong because AI might fundamentally change the corporate earning capacity much more than traditional valuation models might forecast. His reasoning may be right, but I think most of the good stuff is already in the price.

The image that comes to mind with the next chart is when Jacob meets his twin brother Esau after decades apart. He never knew if they were going to kiss or fight. I think we are heading for a fight with the cumulative 52 week high low index.