From the C2 Labs:
What is it?
People have asked for a more advanced “Grid” which lets users select strategies based on performance criteria that existed in the past, and which allows you to see how strategies selected due to this past data would have performed in the future.
We’ve been working on just such an application. It is called Portfolio Time Machine. It’s a mashup of the Grid, plus the Portfolio Builder, plus a large historical database.
How it works
You can set math filters which pick strategies AS OF a certain date. For example, if you move the date slider to July 1, 2015, then you can ask PTM to choose those strategies with a Sharp ratio of >= 1 as of July 2015.
Then you can press the “PLAY” button to run that portfolio forward, and to see how it would have done.
We’ve tried hard to prevent hindsight selection bias from affecting the data. There’s a firm algorithm about which strategies are included in the historical database as of any particular date, and the statistics in the database – while still limited in scope – are not tainted by future information. So, for example, you use July 2015 data to pick a set of strategies, no information about what happened after July 2015 will be used for that selection.
This is most definitely an early beta release.
I’m posting the link here to solicit feedback and suggestions. The UI is wonky, performance can be slow, and there’s a lot of rough edges.
But it’s a start. Let me know what you think.