Is it possible to incorporate the bid-ask spread into a portfolio backtest using PortfolioBacktester? It appears as though the user can only select BID, ASK, or TRADE when configuring a portfolio backtest. I know it is possible on with one symbol using Multicharts, just not sure how to do it on a portfolio. In Multicharts is it called Extended Backtesting Mode.
Thanks
Adam
Incorporating bid-ask spread into portfolio backtest
- Anastassia
- Posts: 179
- Joined: 18 Jan 2010
- Been thanked: 4 times
Re: Incorporating bid-ask spread into portfolio backtest
Hi Adam,
There is no "Extended Backtesting Mode" option available in Portfolio.
Thank you
There is no "Extended Backtesting Mode" option available in Portfolio.
Thank you
Re: Incorporating bid-ask spread into portfolio backtest
Ok thanks for the reply. This functionality would be a great enhancement to the Multicharts platform. Please consider it for future versions.
Thanks
Adam
Thanks
Adam
- Anastassia
- Posts: 179
- Joined: 18 Jan 2010
- Been thanked: 4 times
Re: Incorporating bid-ask spread into portfolio backtest
You are welcome, Adam.
We will consider adding Extended Backtesting Mode option to Portfolio for the future versions of MultiCharts.
We will consider adding Extended Backtesting Mode option to Portfolio for the future versions of MultiCharts.