Is there any way to do a backtest within an AFL algorithm for previous data?
The scenario is:
I want to open a trade for the best strategy performed upto that moment from a list of strategies.
So if for example RSI(20) > 90 and RSI(30) > 90 as 2 signals, I want to decide to open for the strategy that has performed better within the last, lets say, 2 months.
So, the idea would be that for each bar, I can do a backtest of my symbol on RSI(20) and RSI(30) and get the performance, so I will choose which one is performing better and then do my trade or not.