Hi,
I'm comparing the results between a chart backtest and a backtest run in the Portfolio Trader application. The strategy is identical in both as well as the security ( SPY ). The signals are identical (i.e. the trade dates and prices), but the size of the trades differ.
I believe all the settings are identical.
a) I'm using fixed cash per trade in both
b) Portfolio Settings, Exposure 100%, Max % of Capital at Risk 100%, Potential Loss per Contract is set to Absolute Max Potential Loss 0.001 (which according to the help turns it off).
Any ideas?
Difference between Chart Backtest and Portfolio Backtest [SOLVED]
- Henry MultiСharts
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Re: Difference between Chart Backtest and Portfolio Backtest
Hello GTrader,
Your script should generate the same results in MultiCharts and Porfolio Trader if the settings are the same.
You need to have one instrument in your portfolio for the results to match with the chart. Just 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 Trader, 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 set to 100%.
In the Money Management Settings section Initial Portfolio Capital should be set to the highest value ($1 000 000 000).
Your script should generate the same results in MultiCharts and Porfolio Trader if the settings are the same.
You need to have one instrument in your portfolio for the results to match with the chart. Just 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 Trader, 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 set to 100%.
In the Money Management Settings section Initial Portfolio Capital should be set to the highest value ($1 000 000 000).
Re: Difference between Chart Backtest and Portfolio Backtest
Hi Henry,
Thanks for getting back so quick. I did what you said but it still doesn't match up. I've attached the strategy and a screenshot of my Portfolio Settings. I can't get the trade sizes to match up. The problem is definitely on the Portfolio Backtester size as the trade sizes should just be based on fixed amount, but they aren't.
I don't mean to be a pain with this but I am just starting to use the Portfolio Backtester and I want to ensure I fully understand how it works. Perhaps you can see if they match on your side.
Thanks for getting back so quick. I did what you said but it still doesn't match up. I've attached the strategy and a screenshot of my Portfolio Settings. I can't get the trade sizes to match up. The problem is definitely on the Portfolio Backtester size as the trade sizes should just be based on fixed amount, but they aren't.
I don't mean to be a pain with this but I am just starting to use the Portfolio Backtester and I want to ensure I fully understand how it works. Perhaps you can see if they match on your side.
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2958 times
Re: Difference between Chart Backtest and Portfolio Backtest
Hello GTrader,
Please send us the following information for analysis of this case to support@multicharts.com:
- MultiCharts workspace you are using;
- Portfolio Trader workspace you are using;
- in QuoteManager select the symbols you are using, make a right click on the selection->Export data->Export instruments (with data). Send us the QMD export file for analysis;
- in PowerLanguage .NET editor->File->Export->export the studies you are using for replicating this behavior; send us the pln file;
- specify the version and build number of MultiCharts you are running (in MultiCharts go to Help tab-> About).
If the file size is >10 mb please upload it to any file sharing hosting and send us the download link.
Please send us the following information for analysis of this case to support@multicharts.com:
- MultiCharts workspace you are using;
- Portfolio Trader workspace you are using;
- in QuoteManager select the symbols you are using, make a right click on the selection->Export data->Export instruments (with data). Send us the QMD export file for analysis;
- in PowerLanguage .NET editor->File->Export->export the studies you are using for replicating this behavior; send us the pln file;
- specify the version and build number of MultiCharts you are running (in MultiCharts go to Help tab-> About).
If the file size is >10 mb please upload it to any file sharing hosting and send us the download link.
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2958 times
Re: Difference between Chart Backtest and Portfolio Backtest [SOLVED]
Hello GTrader,
Our engineers have identified the issue and forwarded it to the development team.
At the moment the fix is targeted to MultiCharts 9.1 Release 3.
There is no ETA for the version yet. Please follow our blog to get the latest updates:
https://www.multicharts.com/traders-blog/
Our engineers have identified the issue and forwarded it to the development team.
At the moment the fix is targeted to MultiCharts 9.1 Release 3.
There is no ETA for the version yet. Please follow our blog to get the latest updates:
https://www.multicharts.com/traders-blog/