Portfolio

Henry MultiСharts

Hello TradingPro, Portfolio Money Management Signal needs to know the events of all data series therefore it is called on each new tick (it runs in IOG). PMMS_Strategy_Close_Position can close the position intrabar, not only on bar ...

siscop

Now after market closed the Portfolio Trader had the right Position for the stock RCL (flat). I am not really sure when it updated the information but it had the wrong info for at leased 4 hours. After market I looked it up again and it said flat.

siscop

I just wanted to look at the Portfolio Trader Logs when filtered a Stock with the mousewheel which I did not wanted and a pop up window came up. Everytime I tried to close that window it came up instantly. Whenever I clicked something else ...

siscop

This morning I had 2 open positions: NWBI and RCL. After the market opened I noticed that RCL Exit wasn’t handled anymore so I looked at the Orders and RCL was sold (attachment RCL-Sell2.jpg + RCL-Sell3.jpg) – but was weird is that Portfoilo Real-time Auto Trading RCL was still on Position +58 (atta...

waldem

Hallo Team, i have 2 questions about portfolio trader with automate order execution. 1 if i have multiple account, how can i select the correct account? 2 when portfolio send order and finish the money of "initial portfolio capital" stop to ...

Henry MultiСharts

Hello Trade23,

There are no such reserved words. Optimization runs in multiple flows, there is no guarantee that the last iteration number will be the last one to finish.
Instead of bar number you can check any script value to initiate the file delete operation.

TradingPro

MC staff - Is this possible with Portfolio Trader?

Henry MultiСharts

Hello The9000,

Which OS version do you use?
What is your display resolution?
What is your monitor model?
Do you use custom DPI (if yes, which one)?
In case this behavior is still present on your end - you can come to our live chat Monday-Friday 6:30 am - 1 pm EST to demonstrate it remotely.

Henry MultiСharts

Hello siscop,

Please use OpenOffice. LibreOffice is not supported.

TradingPro

PMMS_Strategy_Close_Position appears to close orders at the close of the current bar.
How would it be possible to modify this to have Portfolio Trader positions close at the open of the following bar?

The9000

To add to that, the size of the dialog box for setting the parameters on a strategy is not adjustable. This is a definitely a bug.

The9000

I'm not sure if this is a bug or a registry thing, however the font size in Portfolio Trader 10 looks cartoonish and corrupts when I unmaximize the screen.

Is there a way to change it back to MC9 style?

Screen Shot 2016-12-18 at 12.01.20 PM.png: (235.62 KiB) Downloaded 450 times

Trade23

Is there a way to access the first and last run of Simulations that run in a Portfolio Backtester optimization from Code? I wrote a MoneyManagement Signal that writes a data-file to a certain directory every time it is been run. If an optimization run is started ...

siscop

I am sorry to bring up this old thread but I seem to have the same problem. I am using MC 64 10.0 Build 13626 and Libreoffice 5.1.6.2 I just updated it from 4.x where I had the same problem SaveFile.jpg It would be nice if someone could help me with this or at least give me a workaround. PS: Please ...

Henry MultiСharts

Hello Walter,

These columns are available in MultiCharts 10.0 Release Optimization Results window. Please make sure you are running the latest version and you have the required columns enabled in the report window settings.

Henry MultiСharts

I was afraid you were going to say that. So in the following, how do you get m_averagefc1.length to act on BarsOfData(2)? I think I have m_averagefc1.price figured out. Screen Shot 2016-12-11 at 6.02.04 PM.png Many thanks Darob, you do not need to have Length of data2. You need to specify data2 in ...

darob

I was afraid you were going to say that. So in the following, how do you get m_averagefc1.length to act on BarsOfData(2)? I think I have m_averagefc1.price figured out.

Screen Shot 2016-12-11 at 6.02.04 PM.png: (9.87 KiB) Downloaded 1382 times

Many thanks

Henry MultiСharts

... with our engineers and apologize for confusion. Unfortunately there is no way to have an order cancelled and exits sent inside a 15 min bar in Portfolio Trader. The most efficient solution will be using a lower resolution on data1 for trading. Using unmanaged orders will still work, but requires ...

darob

Is this simple change enough to force a recalculation at a higher resolution (assuming the 2nd data series is 30 sec or something) and give me quicker stop placement on partial fills? The backtest results are identical but I don't see a way to test this except in live trading.

BarsOfData(2).png: (17.15 KiB) Downloaded 1391 times

darob

It looks like shifting the strategy references to another data series and generating the orders in a higher resolution may work. Still interested in any other simpler ideas if you've got any.

Thanks

tradingest

but my result in portfolio trader is the same at backtest in multicharts with precision 1 minute. Why? Seems that 1 minute precision is adopted

svopex

Portfolio trader doesn't support backtest precision (bar magnifier). This function will be added in future. I use portfolio trader only for trading (automate order execution function). Backtest I make in Multicharts. See this ...

tradingest

other question,

in portfolio trader the backtest precision (1 min) how I can set it.
I can't see the information about it

svopex

Yes, you can substitute multicharts by portfolio trader.
Settings is on the picture (in the attachment), in the previous post...

tradingest

Yes, its possible.

Would you explain to me how you did it. It possible to make real trade with portfolio trader instead of open different charts and apply one to one strategies?

Can you help me?

svopex

Yes, its possible:

darob

... == 0. If I understand this correctly the script is acting on this information at Bar.Close. So how do I force this to happen intra-bar in Portfolio Trader? Sorry if I'm being clueless here and missing something obvious (highly likely). Screen Shot 2016-12-09 at 4.09.26 PM.png Edit: I assume ...

Henry MultiСharts

Hello darob, There are two ways to address this situation: 1) Stop generating the order in the code if it is partially filled, then the exit orders will be generated. 2) Use Unmanged orders (TradeManager) to place the stop order to exit the position. You will need to monitor the open position size a...

darob

I've been looking at this thread and even though it's regular MC it seems to relate to my question. It starts with a question specifically about Portfolio Trader but am I correct in thinking the solutions discussed are not? My understanding is IOG isn't supported. Very interested in any ideas ...

darob

Hi Henry, thanks for explaining this.

tradingest

Hi all, if I have 2 strategies in applied in the same instruments in the portfolio strategy I can choose that the first strategy is for the first instrument and the second strategy is for the second instrument? It's possibile choose and associate one strategy ...

Henry MultiСharts

Hello darob,

You need to modify the code to have the orders generated on bar close. The EOD exit sample code we have provided generates the orders before bar close event occurs.

darob

This may apply to chart trading too, but I've been running Portfolio Trader for a few months now and have noticed that if an order doesn't fill completely the stop that normally generates on the fill isn't generated until the current bar closes (these ...

darob

... time, and if correct, OnRecalcLastBarAfterEvent should generate the order/s. Is there something else that should be done to run the script in Portfolio Trader? Thanks

Henry MultiСharts

Hello darob,

It looks like your strategy does not generate the orders when CalcBar is called on bar close.

waldem

hallo all, i've noticed that the results coming from optimization have different field from te results coming from backtesting. should be possible to have the same output? in my opinion when i run optimization is very important to have the following column: Avg_Trd Profit Factor Return on account sh...

darob

Hi, I've applied this script as a separate strategy in Portfolio Trader to close any remaining open positions ahead of the close. It doesn't work, however. Any idea why? All other signals run on 15 min bars, this one on 3 min. MC.NET64 v.10 release ...

cwhorton

Using Portfolio Trader, I have a strategy that is configured to trade instrument ABC with per second resolution and it has DEF setup as as Data Series 2 with 5 minute resolution. BarsOfData(2).Close only changes every 5 minutes ...

svopex

Hello, this issue hasn't been repaired. It's a log from my real time trading: ComputerTime=94459,BarStatus=2,12/1/2016 9:45:00 ComputerTime=94724,BarStatus=1,12/1/2016 10:00:00 ComputerTime=95027,BarStatus=1,12/1/2016 10:00:00 ComputerTime=95958,BarStatus=2,12/1/2016 10:00:00 I don't use intra bar o...

Henry MultiСharts

... Seemingly sizing can't be run post trade list resampling. Is there a way around this that anyone can think of? Maybe by using the PMMS feature in Portfolio Trader? A key feature of Monte Carlo simulation is to estimate drawdown risks at various levels of aggression, sizing wise. Shuffling the ...

fbertram

Dear MultiCharts fans, I am using Portfolio Trader to trade about 200 stocks on daily bars. I am shutting down my trading server every night, and firing it up in the morning before the session opens. Positions stay open for multiple days, ...

Henry MultiСharts

I have one improvement for MC 10.0. Portfolio Trader: If you have the same strategy name, on the same symbol but different timeframe and you have "set market position manually" set you don't have a display field of the timeframe in the dialogue. ...

FutureTrader

I have one improvement for MC 10.0. Portfolio Trader: If you have the same strategy name, on the same symbol but different timeframe and you have "set market position manually" set you don't have a display field of the timeframe in the dialogue. ...

TJ

[FAQ] IOG and BarMagnifier Portfolio Trader does not support IOG and BarMagnifier for trading signals. IOG is supported and is always On for the money management signal only. https://www.multicharts.com/discussion/viewtopic.php?f=1&t=49134&p=118362#p118362 ...

TJ

... data is downloaded from the data feed server and plotted on the chart - it is stored in the cache. When you close MultiCharts, QuoteManager and Portfolio Trader - cached data is saved to the local database. You cannot manually save the cached data, it is done automatically. Since version 9.0 ...

TJ

[FAQ] Multi-core/Multi-thread for Portfolio Backtester ? https://www.multicharts.com/discussion/viewtopic.php?f=1&t=48843 There is no way to multithread these processes. Please study how Portfolio Calculation is done: Portfolio_Trader#Script_Calculation_and_Raw_Order_Generation ...

TJ

... CODE -- If you have made changes to other people code, tell us what changes have you made? 4. When and where do you observe this problem? In the Portfolio trader? Real time or Backtest? Walk forward test? Optimization? After hour? Fast market only? Do you see the same problem with all the symbols ...

TJ

... is the chart resolution? 5 min? tick? 24 hr session? (does the problem happen to all the chart resolutions?) 5. When do you observe this problem? Portfolio trader? Real-time? Backtest ? Walk forward test? Optimization? After hour? Fast market? 6. Describe your problem , and tell us your expectation ...

TJ

[FAQ] Results Difference for Backtest in Portfolio Backtester and MultiCharts

viewtopic.php?f=1&t=9794

viewtopic.php?f=1&t=49396

TJ

Code Example

PRINT
viewtopic.php?f=1&t=46997

TJ

... additional data series of the same chart. You need to have an individual chart for each instrument you want to trade. That is possible to use the Portfolio Trader introduced in MC 9.0 to automate order execution for multiple instruments. You can find more details regarding the new portfolio trading ...

TJ

Re: Global Variables.

There are new prebuilt reserved words that allow sharing information between the strategies similar to Global Variables.

TJ

Updated Manuals

Portfolio Trader Manual: Wiki, PDF.
Portfolio Trader Strategy Examples: Wiki, PDF

TJ

To look for more information on Portfolio Trader and Portfolio Backtesting:

Search the support forum for all the past discussions on "Portfolio"
search.php?keywords=Portfolio&submit=Multicharts

TJ

1. Start with the Wiki : Portfolio Trader Documentation: https://www.multicharts.com/trading-software/index.php/Portfolio_Trader Portfolio Trader Strategy Examples: https://www.multicharts.com/trading-software/index.php/Portfolio_Trader_Strategy_Examples ...

Henry MultiСharts

Any updates on the chance that other bar types might be implemented into the portfolio back-tester?

At the moment such functionality is not in our to-do list.

MAtricks

Any updates on the chance that other bar types might be implemented into the portfolio back-tester?

aconnery

Following on from recent posts regarding Pair trading using MC, I noticed on the Wiki pages that it is indeed possible to backtest Pairs in Portfolio Backtester using Global Variables. Pair Trading in Backtesting It is not possible to use Global Variables for backtesting of your pair-trading ...

edwardho

I think I found the answer I need. It's in the Breakdown by Symbols section of performance report.

Thank you so much for the reply.

Andrew MultiCharts

Hello edwardho, It is better to have: Strategy Alpha, where your signal(s) are applied to instrument A; Strategy Beta, where your signal(s) are applied to instrument B; Strategy Gamma, where your signal(s) are applied to instrument C; Strategy Delta, where your signal(s) are applied to instrument D;

edwardho

Hi there, If I place multiple instruments in Portfolio Backtesting with a single strategy, I will get the performance of the portfolio. However, if I would like to identify which instrument is the most suitable to the strategy and which instrument ...

Wally_AD

... SetProfitTarget and SetStopLoss orders were executed. Shouldn't they depend on MP? I would like to get rid of them in the chart. How ? With the Portfolio Backtester and a lot of trace outputs into a file I cannot see these orders. regards Ulrich

Henry MultiСharts

A. How we can export all settings from Portfolio Back tester? Hello aurelispas, Please refer to Operating Portfolios#Saving Portfolios B. Can we add in Radar screen the full strategy ? Please refer to How to utilize Real Time Market Scanner ...

Andrew MultiCharts

Hello Wally_AD, Please follow the next steps: Close MultiCharts, Portfolio Backtester and all its parts Make sure all MC processes are ended in Windows Task Manager. Here you can find the list of all MC processes: https://www.multicharts.com/trading-software/index.php/MultiCharts_Processes ...

aurelispas

... Scanner Market & Analyzer...and trade directly from Radar screen without to open any charts? Questions: A. How we can export all settings from Portfolio Back tester? B. Can we add in Radar screen the full strategy ? a. Symbol name /yes b. Time frame /yes c. Pivots/Yes d. ATR/Yes e. SL? for ...

Wally_AD

Hi, In the Portfolio Backtester there is an empty window" instrument list". First it showed the selected data, but after a while the content disappeared. I found no way to get the list back. Or can tell me somebody how to get the ...

Henry MultiСharts

Hello hairyMug,

It looks like there is something wrong with your system. A simple operation of drawing a rectangle is failing. Please try using MultiCharts on a different/clean system.

hairyMug

when starting the portfolio backtester application, an exception is thrown with the following content: See the end of this message for details on invoking just-in-time (JIT) debugging instead of this dialog box. ************** Exception ...

Henry MultiСharts

At the moment there is no way to calculate that. This is something we are going to have added in MultiCharts 9.0

aconnery

That's correct. Net exposure is the difference between Long and short positions. so long=40, short =-60, therefore net exposure= -20

thanks

Henry MultiСharts

Hello aconnery,

Please explain what you mean by "net exposure". Are you referring to splitting the InvestedCapital into short and long trades (how much capital is held for long trades and short trades)?

aconnery

... exposure is the difference between long positions and short positions i.e. 50+20-30=40 net exposure...... or cash exposure. Can this be done in portfolio backtester as this is really basic stuff ? Thanks in advance.

Henry MultiСharts

in any cse this does not work for portfolio, is not possible for you to state which is the stock with error that i can simply delete from portfolio?

This improvement is targeted to MultiCharts 9.0

TJ

... method when you have single chart, even if when you have very long code is complex to find the bad variable. in any case this does not work for portfolio, is not possible for you to state which is the stock with error that i can simply delete from portfolio? Just open your code in the PowerLanguage ...

Henry MultiСharts

waldem, if there is no zero division protection in the code then the error can appear both in MultiCharts and Portfolio Backtester. Please follow the instructions from the article I have provided above to troubleshoot your code and avoid getting the floating point message. I will ...

waldem

hallo, thank you, this is a good method when you have single chart, even if when you have very long code is complex to find the bad variable.

in any case this does not work for portfolio, is not possible for you to state which is the stock with error that i can simply delete from portfolio?

waldem

hallo all, sometime I got the "Exception error" on my Portfolio Backtester. should be possible to have in the error windows the name of the stocks that cause the problem? this because if you have a big list of stocks is very complicated understand which ...

Henry MultiСharts

Hello marnem, For Forex pairs the price is shown in the secondary currency. For ex GBPJPY the price is in Japanese Yen. Portfolio Backtester does not adjust the prices automatically to show the report in a single currency across all instruments. It means each instrument report is in ...

marnem

... a question for multichart backtesting. i've 4 couple of valute (EUR/JP - AUD/USD - GBP/USD - AUD/CHF) and the same strategy. ok...when i use portfolio backtesting the performance report use the second valute and not change the results in a single valute. Is there a method for wxchange this ...

Henry MultiСharts

Hello continue8, In order to access the commissions rules in Portfolio backtester - Right click on the strategy in Portfolio tree->Show Properties->Properties tab. Since MultiCharts 8.5 slippage in backtesting is no longer applied to limit and stop limit ...

Andrew MultiCharts

You have to be registered and logged in to vote for it.

waldem

thank you Andrew.
i have tried but i don't know how to vote

))))

i have pressed vote but the number are always 10...

Andrew MultiCharts

Hello waldem,

WFO for Portfolio Backtester is not scheduled for any particular version yet. Please vote for the respective feature request.

continue8

What trading costs are assumed when the Portfolio Backtester is run with strategies that point to currency products - on MCFX for example. Within the Portfolio Backtester there seems to be no field to allow for trading costs/slippage as there ...

waldem

Hallo, I'm new in MC and in this forum.

I would like to ask at MC team if is forecast in future to have WFA in portfolio backtester.

Single wfa is not so significant for me..

Thank you so much.

Bye

Henry MultiСharts

Hello continue8,

No charting is possible in the Portfolio Backtester. Portfolio Backtester operates with OHLC data values only.
"Point" resolution is not the same as "Point&Figure" chart type.

continue8

... reversals) on EURUSD MCFX data In Multicharts this is fine and appears to give an accurate simulation however if I place the same strategy in the Portfolio Backtester none of the results match the Multicharts (chart-based) simulation if I use the data2 = "Point" data selection . Why is this discrepancy ...

Henry MultiСharts

... per chart only. If you want to trade a certain number of instruments-you need to have a chart open for each symbol. We are currently working on Portfolio trading with money management rules and basket trading. This functionality will become available in MultiCharts 9.0

hairyMug

I have my portfolio and would like to auto-trade the stocks (5-minute bars) but don't want to open a chart for each stock.

Is it possible (in code or otherwise) to turn on auto-trade for the list?

Thanks!

Henry MultiСharts

Hello clonardo,

Currently available portfolio backtesting properties are listed in PowerLanguage.NET Help under IPortfolioPerformance Members section. More portfolio backtesting/portfolio realtime trading functionality/properties are coming in MultiCharts 9.0 later this year.

clonardo

I've got something in mind that I'm going to try to implement.. will share with the community if it looks promising

SysInv

It's my understanding that MC does not offer this. They say Portfolio trading will be available in version 9, which I assume will allow us to code portfolio specific rules before each symbol is executed, but I'm not sure yet. I've solved similar issues ...

clonardo

Forgot to mention that I would like to be able to use the same code in real-time trading as well as backtesting, if possible. Thanks.

clonardo

... to the programming guide. I have a question on position sizing. Let's say that I wanted to use a simple algorithm for position sizing in a portfolio backtest (e.g., size positions according to output of a PL.NET function). Is there any way to do this without Global Variables, or if not, ...

Henry MultiСharts

Hello tesiag,

Two signals applied to the same chart will work as a single strategy and form a single strategy performance report.
If you want your signals to be calculated separately and have both single and individual reports, you can use Portfolio Backtester.

Henry MultiСharts

... If you want to trade a certain number of instruments-you need to have a chart open for each symbol. We are going to implement Portfolio trading with money management rules and basket trading in MultiCharts 9.0. The first beta version with this functionality is coming later ...

Henry MultiСharts

Any guess when WFO might be added to Portfolio Backtester?

There is no ETA for this functionality yet.

dwitkin

... scenario isn't completely accurate yet, but let's assume I've already written all the EasyLanguage code required to backtest my systems in the Portfolio Backtester. Based on the Portfolio Backtester results / reports and as a result of live trading at small size, I am now ready to automate. ...

JoshM

I wanted to know if the portfolio backtester has / had an option to test on OOS data, as in set a preference or percentage of data tested. IS and OOS segments are parts of Walk Forward Optimization, which is not available in Portfolio ...

Henry MultiСharts

This improvement is targeted to MultiCharts 9.0 Beta 1

Henry MultiСharts

I wanted to know if the portfolio backtester has / had an option to test on OOS data, as in set a preference or percentage of data tested.

IS and OOS segments are parts of Walk Forward Optimization, which is not available in Portfolio Backtester.

travelboysteve

... this weekend and last night getting more familiar with the platform and where all the right "buttons" are, so to speak. I wanted to know if the portfolio backtester has / had an option to test on OOS data, as in set a preference or percentage of data tested. I looked around for that but couldn't ...

TJ

Hello All - Happy New Year!
I've been wondering if it is possible to trade Data2 and/or Data3, etc... based on Data1 conditions?
This might be considered "Portfolio Trading" and if so I guess that answer for now is "no". Is that correct?
Thanks

You can only trade on data1.

scuba

Hello All - Happy New Year!

I've been wondering if it is possible to trade Data2 and/or Data3, etc... based on Data1 conditions?

This might be considered "Portfolio Trading" and if so I guess that answer for now is "no". Is that correct?

Thanks

Henry MultiСharts

Aston01, unfortunately there is no reserved word to limit the amount of entries per strategy at the moment. This is something that will be added in MultiCharts 9.0.

Aston01

I know I can use Portfolio_CurrentEntries to determine the number of open positions within a portfolio, but with multiple strategies is there a way to limit the open positions specific to that strategy? For instance I am backtesting two separate strategies (on multiple ...

Andrew MultiCharts

elindydotcom, You don't have to re-do anything. Switching to local time zone will keep your configured session settings, but the bars with the your custom sessions (and strategy performance results based on them) will be represented in local hours. Backtesting results are more reliable when they are...

jimpe606

Hi,

I fully agree!
A must have!

Cheers,
Jimmy

elindydotcom

What are the benefits of this new restriction? Other than deliberately breaking our prior work I see no benefits or rationale for this. We spend a lot of time getting our sessions just right (matching the data feed times to the multicharts interpretation is actually harder than you think) and now we...

Andrew MultiCharts

Hello elindydotcom, Yes, you are right, this was added in MC 8.8. Portfolio Backtester performs calculations similar to how multiple data series bars are arranged relatively to each other on a chart. it means different time zones should not be mixed in order ...

elindydotcom

8.7 portfolio backtesting runs fine. In 8.8, it complains about time zones "Instruments from different time zones cannot be mixed". What changed in 8.8 that this message is now being produced? Only Data 1 is being used but obviously ...

hilbert

... but I am curious when are we going to get Multicharts 9.0 beta and finally Multicharts 9.0 production version? Its been a long time waiting for portfolio trading. Thanks. hilbert, unfortunately there is no ETA for MultiCharts 9.0 beta yet. It is not in our road map for this year as we are currently ...

Henry MultiСharts

... but I am curious when are we going to get Multicharts 9.0 beta and finally Multicharts 9.0 production version? Its been a long time waiting for portfolio trading. Thanks. hilbert, unfortunately there is no ETA for MultiCharts 9.0 beta yet. It is not in our road map for this year as we are currently ...

hilbert

I didn't want to start a new thread, but I am curious when are we going to get Multicharts 9.0 beta and finally Multicharts 9.0 production version? Its been a long time waiting for portfolio trading. Thanks.

Smarty

Hello Henry,

there is a false alarm..... I worked badly with the portfolio tester, by wrong setting data1 e data2 instruments (as showing in figure is right)

Now my pair strategy works fine.

sorry for headache

) and thanks for attention.

Sabino

Henry MultiСharts

... further investigation: 1) What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About); 2) Attach portfolio workspace you are using; 3) in QuoteManager select the symbols you are using, make a right click on any of them->Export data->Export instruments ...

Henry MultiСharts

Smarty, Please send me (support@multicharts.com) the following information for further investigation: - What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About); - workspace you are using; - in PowerLanguage editor->File->Export->export the studies ...

Henry MultiСharts

Hello Walter,

Unfortunately there is no way to reset the initial capital each year during backtesting at the moment.
That is possible to increase the initial portfolio capital value and specify the % of capital at risk per position in Portfolio Settings to do the money management you need.

waldem

Hallo MC staff, i have question concerning portfolio backtesting. Should be possible in some way the restart each year the capital to the initial amount? I explain: if i start to work with 100000$ in 10 year of testing, and i have fixed to 10000 ...

Henry MultiСharts

Hello Smarty,

We will check that.

arnie

... I have built in TS into MC and I can also use all the extras that TS charges you if you do not trade through their brokerage (i.e Radarscreen, Portfolio Meastro, etc.). I only wish I had done this years ago. Thank you MC's!!!!!!!!!!!!!!1 In setting up the chart trading, I want to know if I ...

Sky

... I have built in TS into MC and I can also use all the extras that TS charges you if you do not trade through their brokerage (i.e Radarscreen, Portfolio Meastro, etc.). I only wish I had done this years ago. Thank you MC's!!!!!!!!!!!!!!1 In setting up the chart trading, I want to know if I ...

Smarty

... real anomaly. Individual strategy reports sign exactly number of contracts, respectively, 1 and 2, but if I apply strategies toghether in testing portfolio environment there is a huge anomaly: in portfolio backtest figure always 1 contract. the strategy report (by chart launch) apply 2 contracts, ...

Henry MultiСharts

... of visible data series MultiCharts Performance Report can be now exported into OpenOffice Limit Order Execution Assumptions has been also added to Portfolio Backtester Improved the optimization process: no annoying verification messages any longer when the Start Value, End Value, and Step are changed ...

Henry MultiСharts

... of visible data series MultiCharts Performance Report can be now exported into OpenOffice Limit Order Execution Assumptions has been also added to Portfolio Backtester Improved the optimization process: no annoying verification messages any longer when the Start Value, End Value, and Step are changed ...

Phillo82

Another very useful improvement could be introducing a max number of open position on the whole portfolio. Actual function "max position number" is referred instrument by instrument, and the other function on the max equity percent doesn’t work as I want when equity go ...

Henry MultiСharts

... instrument while the data file is for NQX.X instrument. Make sure you have the correct symbol in your QuoteManager/using the correct symbol in Portfolio Backtester. 2) The data range in you test workspace was set to 11/20/2013 up to current date. That is just a week worth of data. The "max ...

tradewiz

... capital based on any combination of: 1. Equity available at the time each new trade comes up. 2. Amount of risk and number of positions across the portfolio. 3. Amount of risk and number of positions across a system. 4. Amount of risk and number of positions within a sector. 5. Amount of risk and ...

Aston01

... system. What I ran across was a bit surprising to me an I was hoping someone could help me understand what is happening. For reference I am portfolio testing a little over a years worth of ASCII mapped data across ~100 symbols on a 5 min bar interval with a consistent data 2 symbol. I made ...

Henry MultiСharts

... bars. That is possible to use different resolutions and instruments from different exchanges. Please try the following: 1) Close QuoteManager and Portfolio Backtester; 2) In MultiCharts go to File tab->Preferences->Data server mode; Set it to offline mode; 3) Start Portfolio Backtester; 4) Try ...

Henry MultiСharts

Data that was received in MultiCharts is stored in cache during MC working session. When you close MultiCharts, QuoteManager and Portfolio backtester - all data that is still in the cache is saved to the local database. You can plot the data you need on the chart, it will be saved to the ...

Henry MultiСharts

Hello Ebergies,

Please specify a From -To data range excluding current day on your chart in MultiCharts (Format->Instrument->Settings tab). If you are able to get the same amount of bars for both data series on a chart - please specify the same data range in the Portfolio Backtester.

Aston01

Wow, your right I forgot to even mention that my question was in regards to Portfolio Backtester.

(I have updated my original post accordingly)

JoshM

... be implemented', are you saying that at least one of those four things will not be implemented? While I'm biased towards more features for the Portfolio Backtester, I'd say that at three of these (WFO, Bar Magnifier, Custom Criteria Fitness) are absolutely necessary. Otherwise, why add multi-currency ...

Andrew MultiCharts

When will this limitation on the Portfolio Backtester be removed, MC Support? The Portfolio Backtester really needs an overhaul: For example: PM strategy weighting , PM walk-forward optimizations , PM custom criteria fitness , PM bar magnifier ...

JoshM

(...) As we discussed the SetCustomFitnessValue keyword isn't currently supported under portfolio back testing so I was attempting to write a javascript version in the mean time. It seems somewhere along the line I didn't format the javascript version properly and ...

Aston01

Hi Andrew, Yes, this is the same project we discussed yesterday. As we discussed the SetCustomFitnessValue keyword isn't currently supported under portfolio back testing so I was attempting to write a javascript version in the mean time. It seems somewhere along the line I didn't format the javascript ...

siscop

... ask and bid price which MC requires from IB. Would it be possible for MC9.0 to separate the data from the broker? I am asking specially for the portfolio trading where there are a lot of stocks coming together. What I want is to have the entry decision from IQfeed and from that moment on MC ...

Aston01

... / (DayHigh - DayLow)); Any idea where I am possibly going wrong with the formatting ? Update: I am referring specifically to the use in Portfolio Backtester, I can use SetCustomFitnessValue if I were going to use this on a conventional chart.

Andrew MultiCharts

In this case, it doesn't matter what the portfolio settings are, more orders will be generated than there is cash in the account. If you believe the settings don't work in Portfolio Backtester, please provide me with the following set of files ...

waveslider

In this case, it doesn't matter what the portfolio settings are, more orders will be generated than there is cash in the account.

here is the feature request:
https://www.multicharts.com/pm/viewissu ... no=MC-1524

Andrew MultiCharts

... was my understanding that global variables didn't work in backtesting. Your understanding is correct. But due to the sequence of calculations in Portfolio Backtester, it is the exception, GV will work there. I'm sure this will be a good reference for others who have a similar issue in the future. ...

waveslider

Furthermore, you should use global variables to pass number of generated entry orders at current calculation of the script on symbol A to coming calculation of the script on symbol B in order to avoid the same problem (excessive orders). Thanks Andrew - would you please provide an example of how th...

Andrew MultiCharts

... it generates, let's say, 10 more entries. They all will be executed at open of next bar. If you don't want to have more then 10 open positions in Portfolio Backtester, you should check current Portfolio_CurrentEntries value, then limit the number of orders generated at this moment to make sure ...

waveslider

When code is compiled as below, there will be more than 10 positions assumed. Daily bars are used. Max capital per position set to 10%. if Portfolio_CurrentEntries<10 then begin if c>o then buy this bar; end; if c<o then sell this bar; print(date," ",Portfolio_CurrentEntries); When the sell statemen...

Andrew MultiCharts

Hello waveslider.

Would you be able to provide a piece of code demonstrating (simplified if you want) strategy logic that can be compiled? Including "prints" of course. Thanks.

waveslider

This reserved word is not working for me. I want a max. of 10 positions I use the following: if portfolio_currententries<10 then begin <<code>> end; Sticking a print command in at the end of each day (print(date," ",Portfolio_CurrentEntries);) I routinely get 30+ entries. PortfolioEntriesPriority is...

Bulli

Hi, Is there a way to create a favorite list of stocks and be able to move from one stock to the other only from this list? For example, I have a portfolio of let´s say 10 stocks, each day I need to go through them one by one to see the progress on chart using a specific template. I will make an ...

Andrew MultiCharts

... million USD to $10 million USD. My strategy does not reference equity to place trades or to manage risk. I am testing my strategy on a diversified portfolio of futures. Most likely when you set it to 5%, it doesn't allow to buy even 1 contract sometimes, what leads to the difference.

furytrader

... million USD to $10 million USD. My strategy does not reference equity to place trades or to manage risk. I am testing my strategy on a diversified portfolio of futures.

ABC

Aston01, you can use GetAppInfo(aiApplicationType). In the Portfolio Backtester it returns 10 here on a chart it will return 1. You need to see if this works for you. This code raises an error on a chart: Value1 = Portfolio_NetProfit; and this code won't: ...

Aston01

Is there a way to identify whether code is running in the MultiCharts environment or the Portfolio Backtester ? Currently I use 2 different versions to accommodate the variations between the platforms with things like "CurrentEntries" and "Portfolio_CurrentEntries" ...

... you plot studies (strategies or indicators) based on values of indicators (not strategies). Limit Order Execution Assumptions were also added to Portfolio Backtester. We’ve improved the optimization process, dialog windows and added new broker connections. Ask our support if you have any questions! ...

... you plot studies (strategies or indicators) based on values of indicators (not strategies). Limit Order Execution Assumptions were also added to Portfolio Backtester. We’ve improved the optimization process, dialog windows and added new broker connections. Ask our support if you have any questions! ...

Andrew MultiCharts

... based on your equity, that is a % of your initial capital value + your profit/loss of the closed trades. It is a general setting for the whole portfolio of symbols and strategies that limits the amount of your position. The "trade size" is not calculated based on equity, it is based on what ...

blquest

Further Andrew, What does the Max Potential Loss actually do? Does it act as a stoploss, liquidating your positions? or will it not let you enter into a position at all? That is not clear from the links you provided.

blquest

Hi Andrew, Yes I have read those two links and it is because the lack of clarity in the wiki that I raise my question. Link#1 does not answer my first question. There is no clarification on notional vs. margin amount used to calculated % loss. Link #2 does not answer my question of how MC would hand...

Henry MultiСharts

Hello clonardo, Are you able to replicate this behavior with 1 instrument using prebuilt signals? If you are able to do that then please send me (support@multicharts.com) the following information for further investigation: - workspace you are using; - data you are using; - in PowerLanguage editor->...

Andrew MultiCharts

Hello blquest,

Have you read the respective MC Wiki pages?
1. max % of capital at risk per position
2. trade size

blquest

Hi MC, I have question regarding nuances in the portfolio settings which I could not find an answer to in other posts (if I've missed it please let me know) regarding: - the "max % of capital at risk per position" in the portfolio settings => money ...

clonardo

... the other a 16-core Xeon with 128gb of RAM. I am using about 5 years of minute data for my backtest, loaded from ASCII mapping. Even on a small portfolio of <10 securities, I am finding that as the number of simulations that have elapsed increases, the memory usage increases ad infinitum. If ...

Henry MultiСharts

... code example of such signals at the following thread: https://www.multicharts.com/discussion/viewtopic.php?f=20&t=10730 We are going to implement Portfolio trading with money management rules and basket trading in MultiCharts 9.0. If you want to participate in beta testing of this functionality ...

eternal2

GetRTCashBalance недоступен в портфеле, так как это баланс по аккаунту, получаемый с брокера. На данный момент у Portfolio Backtester нет связи с брокером.
В Portfolio Backtester можно попробовать это:
InitialCapital + Portfolio_NetProfit - Portfolio_InvestedCapital

большое спасибо. буду пробовать.

chosentoride

... GetPositionQuantity for every stock I'm trading. This should give me a total account value, assuming everything I hold at my broker is part of the portfolio I'm trading via MultiCharts. Do you suspect this might work? I was reading into the GetPositionQuantity function and it appears it will return ...

Henry MultiСharts

GetRTCashBalance недоступен в портфеле, так как это баланс по аккаунту, получаемый с брокера. На данный момент у Portfolio Backtester нет связи с брокером.
В Portfolio Backtester можно попробовать это:
InitialCapital + Portfolio_NetProfit - Portfolio_InvestedCapital

eternal2

... брокера из ОПТ: GetRTCashBalance благодарю за ответ. мне нужен текущий баланс (т.е. после серии сделок) для тестирования на исторических данных в Portfolio Backtester . насколько понимаю, initialcapital - возвращает лишь первоначальный размер капитала? подойдет ли для моих целей GetRTCashBalance? ...

Henry MultiСharts

... . If you do not need to perform broker trading then you can do backtesting . In order to backtest a pair trading strategy - you need to use the Portfolio Backtester .

furytrader

What I ended up doing was exporting the data to Excel and analyzing it there - it was a lot easier than I expected.

Dave Masalov

furytrader, As far as I understand, you want to calculate standard deviation of a series of PnL values for each instrument (or entire portfolio). Unfortunately, there is no such sample code available. You can use the Portfolio NetProfit to get PnL values and feed them into the StandardDev ...

furytrader

Sure, what I mean is that within a portfolio, there are a series of closed trades generated, each with either a profit or loss. I want to calculate the standard deviation of that string of closed trades.

Dave Masalov

furytrader, Could you be more precise? I am not sure I am following you. Are you referring to standard deviation based on Portfolio Strategy Performance‎ values that can be retrieved using the following keywords: https://www.multicharts.com/trading-software/index.php/Category:Portfolio_Strategy_Performance

Andrew MultiCharts

... the sessions on chart and reload the data to have the correct identical session end on data series 1 and on data series 2. The same works for Portfolio Backtester, as well as for MultiCharts itself.

furytrader

Thanks Dave - so that value can be calculated for the entire portfolio? Can you give an example? And by "entire portfolio", I do not mean each market + system in portfolio, but I mean for all the trades that occur within a portfolio in aggregate ... so, ...

Dave Masalov

Hello furytrader,

You can calculate the values in your script using the StandardDev function and print results to a file.

Henry MultiСharts

Hi Henry, Would the portfolio with basket trading have similar functions as described in: https://www.multicharts.com/pm/viewissue.php?issue_no=MC-1423 or can you elaborate more what's planned with the "basked trading" functionality ...

furytrader

Is there an easy way, using the Portfolio Backtester, to calculate the standard deviation per trade? I know I could export the entire Portfolio Report to Excel and do it manually, but I was wondering whether there is an easier way?

ABC

Aston1,

you are welcome. DateTimeToString_Ms might help you. MilliSecondsFromDateTime and SecondsFromDateTime should also work.

Regards,
ABC

Aston01

Thanks ABC, Any idea how I can get the output value down to micro seconds? Currently just using ComputerDateTime I receive the same values in the print statement. If Condition1 then begin Value25= ComputerDateTime(); JMA = JRC.JMA.reset.2k( Close of Data2, length, phase, condition1); Value26= Comput...

Andrew MultiCharts

... sort of reference as to how MC decides which data it is going to run on. Thank you, Master.Aurora. Your last post made it much clearer indeed. Portfolio Backtester works different in this case from MultiCharts: MC: 2 data series; strategy references only data1 ; X bars are skipped for strategy ...

ABC

Aston01, in my opinion this can be caused various reasons, in your example it's probably the time it takes the DLL to receive the values, calculatate the result and for MC to get the result that simply adds up. You can do a quick check with an indicator. Call the simple average function and stop the...

Aston01

I have been using the tradition average function in a strategy during back testing and recently opted for a Jurik MA to calculate that single value. With just that one change alone my back testing times went from 15-20sec to 6-8min. Is there something going on here that I am not aware of that would ...

Henry MultiСharts

I think it would be very useful if a dedicated word could be created for this purpose, in a future release of MC.

That will be possible to filter/send orders in MultiCharts 9.0

Henry MultiСharts

К сожалению, нет единого портала с описанием всех стратегий. Вы можете обратиться к популярным ресурсам типа investopedia или воспользоваться поиском по интернету.

Henry MultiСharts

... instance will be able to handle up to 10,000 objects. You can utilize the new Desktops functionality to setup each instance the way you need it. Portfolio trading functionality is coming in MultiCharts 9.0

Henry MultiСharts

Hello Charles,

There is no limitation for the amount of instruments in Portfolio Backtester.
Please make sure the conditions for order execution are met for the SPY instrument and you have enough initial capital in Portfolio Settings.

ctu1121

Hi, I try to insert 20 instruments into Portfolio Backtester and insert a very simple MACD signal. It works well. However, while I add more than 300 instruments, I see some error. For example, there is no trade for SPY (there is SPY trade if ...

Dave Masalov

Is "Custom Fitness Value" for Portfolio Backtester still planned for 9.0? My fellow traders and I believe that this is #1 MultiCharts flaw/blocking point for a serious Asset Manager... Hello vindiou, At the moment I cannot tell you exactly ...

Henry MultiСharts

... a code example of such signal in the following thread: https://www.multicharts.com/discussion/viewtopic.php?f=20&t=10730 We are going to implement Portfolio trading with money management rules and basket trading in MultiCharts 9.0 We would like to hear your thoughts and suggestions regarding the ...

Henry MultiСharts

wilkinsw, Do you use Random reserved word or ComputerDateTime? Do you use "Bars Back" data request instead of "From - To"? Please try to minimize the amount of strategies and instruments you are using in backtesting and provide the following information: 1) What exact version and build number of Mul...

eternal2

Данные сигналы - индустриальный стандарт. Описание большинства из них доступно в интернете в свободном доступе.

спасибо за ответ. а можно ссылку?

Henry MultiСharts

Данные сигналы - индустриальный стандарт. Описание большинства из них доступно в интернете в свободном доступе.

Henry MultiСharts

... instance or workspace should do no harm to your PC performance. If you have any further questions, please reply to the questions from TJ's posts. Portfolio Trading is coming in MultiCharts 9. If you want to participate in beta testing of this functionality that should start soon - please send ...

Andrew MultiCharts

Hello Analyst,

What the exact version of the software (build number)?
Please provide me with your portfolio workspace, symbols exported from your database and the signals applied to the workspace.

wilkinsw

And I've tried this on two computers and still have the same issue.

wilkinsw

Hi, I've been suffering a very frustrating problem the last few days and would appreciate some help. I have been running a portfolio backtest consisting of 7 strategies. Multiple instruments and timeframes. Sometimes the performance report will produce a result that doesn't look right ...

Phillo82

I agree with many of you that the bigger drawback of portfolio backtester is that it can’t consider the relation between each portfolio element. In my view should be helpful to introduce a kind of a table accessible from the strategy code each time ...

vindiou

Is "Custom Fitness Value" for Portfolio Backtester still planned for 9.0?

My fellow traders and I believe that this is #1 MultiCharts flaw/blocking point for a serious Asset Manager...

Henry MultiСharts

ASCII mapping of minute data seems much improved, but to me, QuoteManager is still the weakest link of the whole package. I find that when I run a portfolio backtest on symbols that are mapped using ASCII mapping that there's very little visibility about what's going on behind the scenes- you just ...

JoshM

Portfolio Settings can be set from the Portfolio Settings tab in Portfolio Backtester application . To use the Portfolio Settings tab: 1. Select the Portfolio Settings tab in the main window. ------------------ That shows ...

clonardo

ASCII mapping of minute data seems much improved, but to me, QuoteManager is still the weakest link of the whole package. I find that when I run a portfolio backtest on symbols that are mapped using ASCII mapping that there's very little visibility about what's going on behind the scenes- you just ...

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