I would like to test my algorithm based on a series of rolling timeframes, similar to what cfiresim does.
For a time frame with length N days, find the returns for all timeframes with length N between dates A and B
N = four years of trading days
A = 2001
B = 2010
The analysis would run the backtests for the following time periods:
This seems trivial to implement if I was able to:
call my algorithm with (starting time, ending time, starting capital)
and have it return a few relevant items to me such as (alg returns, benchmark returns, volatility, max drawdown, etc)
I'm a python noob (and new to quantopian). I kind of seems like the tearsheet analysis does some of what I'm looking for. Is it possible to use a notebook to "call" an algorithm for a specific time period using the tearsheet method some how? and have specific outputs stored into an array for processing later?