Dear MC team, i have one big problem with portfolio backtesting:
I have intraday (15 min.) TS that works with order long Low - 5 tick "limit" and is generating very good equity and performance.
of course it could be that a lot of that buy are exactly in lowest point of bar, therefore i press the backtesting assumption "Fill limit order when trade price goes beyoud limit price by 1 points".
then the problem is that the equity became 45 degree down......
therefore i did another try: i set my TS to 2 tick and always fill limit order by 1 point selected, and the equity doesn't change (always 45 degree down); this simply is not possible.
the problem should be that in Portfolio doesn't exist Bar magnifier?
in my opinion seems software error because i tryed with single chart and even withour bar magnifier works properly.
i need your urgent help.
thank you.
Limit order backtesting assumption in portfolio.
- TJ
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Re: Limit order backtesting assumption in portfolio.
See post #8Dear MC team, i have one big problem with portfolio backtesting:
I have intraday (15 min.) TS that works with order long Low - 5 tick "limit" and is generating very good equity and performance.
of course it could be that a lot of that buy are exactly in lowest point of bar, therefore i press the backtesting assumption "Fill limit order when trade price goes beyoud limit price by 1 points".
then the problem is that the equity became 45 degree down......
therefore i did another try: i set my TS to 2 tick and always fill limit order by 1 point selected, and the equity doesn't change (always 45 degree down); this simply is not possible.
the problem should be that in Portfolio doesn't exist Bar magnifier?
in my opinion seems software error because i tryed with single chart and even withour bar magnifier works properly.
i need your urgent help.
thank you.
[FAQ] IOG and BarMagnifier
viewtopic.php?f=16&t=47045
- Henry MultiСharts
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Re: Limit order backtesting assumption in portfolio.
Hello waldem,
Portfolio trader does not support IOG and BarMagnifier for signals. IOG is supported for the money management signal only.
We understand the importance and demand of this functionality and we are considering adding it in the future. We cannot provide any ETA for it, as this is not a trivial functionality. It requires development of the new complex algorithms for synchronous multi data stream processing in backtesting and realtime on a portfolio level.
Your script should generate the same results in MultiCharts and Porfolio Backtester if the settings are the same.
You need to have 1 instrument in your portfolio for the results to match with the chart. 1 trading instrument (data 1).
You need to have IOG and bar magnifier disabled for your strategy in MultiCharts.
Extended backtesting is also not available in Portfolio backtester, therefore you need to disable it in MultiCharts
All instrument settings (resolution, quote field, data range ) should be the same in both applications. On the chart the Data Range should be specified as From_To and not Days/Bars Back.
MultiCharts has no money management, therefore you need to configure the portfolio to have no money management limits for orders.
In the Money Management Settings section Max % of Capital at Risk per Position should be 100%.
In the Money Management Settings section Initial Portfolio Capital should be set to maximum $1 000 000 000
Portfolio trader does not support IOG and BarMagnifier for signals. IOG is supported for the money management signal only.
We understand the importance and demand of this functionality and we are considering adding it in the future. We cannot provide any ETA for it, as this is not a trivial functionality. It requires development of the new complex algorithms for synchronous multi data stream processing in backtesting and realtime on a portfolio level.
Your script should generate the same results in MultiCharts and Porfolio Backtester if the settings are the same.
You need to have 1 instrument in your portfolio for the results to match with the chart. 1 trading instrument (data 1).
You need to have IOG and bar magnifier disabled for your strategy in MultiCharts.
Extended backtesting is also not available in Portfolio backtester, therefore you need to disable it in MultiCharts
All instrument settings (resolution, quote field, data range ) should be the same in both applications. On the chart the Data Range should be specified as From_To and not Days/Bars Back.
MultiCharts has no money management, therefore you need to configure the portfolio to have no money management limits for orders.
In the Money Management Settings section Max % of Capital at Risk per Position should be 100%.
In the Money Management Settings section Initial Portfolio Capital should be set to maximum $1 000 000 000