Skip to main content

run_backtest_lookback

Function run_backtest_lookback 

Source
pub fn run_backtest_lookback<M, D>(
    engine: &mut Engine<M, D>,
    dt_years: f64,
    lookback: usize,
) -> BacktestResult
where M: Matcher, D: DataSource,
Expand description

Run backtest with a custom adverse selection lookback for computing M(k).