Portfolio

mjm

Use TICKS I'm not sure I understand ... In Portfolio Backtester I tried Format Instrument / Settings / Resolution "1 Tick", Quote Field "Trade", Built Volume On "Trade Volume". Now I see: ... AAON 20121015 1557 OHLC[18.89 18.89 18.89 18.89] Vol ...

mjm

... looks like the value I want. I've attached a screenshot of the QuoteManager EditData window and the output of a simple signal. Steps I took: * In Portfolio Backtester, added the following signal: Print(GetSymbolName, " ", (Date+19000000):0:0, " ", Time:0:0, " OHLC[", Open:0:2, " ", High:0:2, " ...

Henry MultiСharts

... date is in the past, the Quote Manager log pane shows a message for each instrument like this: "Connecting to real-time data for XYZ" Hello Mike, Portfolio Backtester uses the same mechanisms as MultiCharts. In MultiCharts when you do a historical data request there is a realtime connection for ...

TJ

I am using IQFeed as a historical intraday quote source for Portfolio Backtester. In Quote Manager I have added a set of instruments using menu item Instrument / Add Symbol / From Data Source / IQFeed, and each of the instruments has "Collect R/T data ...

mjm

... the steps I took: * I open Multicharts64 and choose File > Preferences > Data Server Mode > Offline: Use only the locally stored data. * I open Portfolio Backtester, add Instruments from IQFeed at 1 minute resolution. * If the "Download Data Before Backtesting" box is checked, then when I click ...

Dave Masalov

Hello KeyDiver,

Here is an example of the code that should do what you need:

Code: Select all

var: Pcnt20(0), maxploss(0);

Pcnt20 = (InitialCapital+Portfolio_NetProfit)*0.2;

maxploss = Portfolio_CalcMaxPotentialLossForEntry(1, 1, Close);



if maxploss<>0 then

	buy Pcnt20/maxploss contract next bar at market;

TJ

... Spread-Ratio . Additional readings in Wiki Spread and Pair Trading https://www.multicharts.com/trading-software/index.php/Spread_and_Pair_Trading Portfolio Trading https://www.multicharts.com/trading-software/index.php/Portfolio_Trader_Strategy_Examples#Spread_Trading_Strategy

mjm

I am using IQFeed as a historical intraday quote source for Portfolio Backtester. In Quote Manager I have added a set of instruments using menu item Instrument / Add Symbol / From Data Source / IQFeed, and each of the instruments has "Collect R/T data ...

Henry MultiСharts

... up with IB data. Once the data is downloaded from the data feed server - it is stored in the cache. When you close MultiCharts, QuoteManager and Portfolio Baktester-it is automatically saved to the local database. You need to reload in MultiCharts, not in QuoteManager. You can hit Ctrl+R or go ...

Henry MultiСharts

... is in charge of loading data and building bars from lower timeframes (ex. points built from ticks). It loads data, processes it, sends to MC or Portfolio and then releases the memory.

Henry MultiСharts

greenroomhoo, please export your report into Excel and attach to this topic for further analysis.

greenroomhoo

yes thank you that works

But in terms of speed of typing you can bang a list out much quicker by hitting tickers and hitting return than down arrow.

Henry MultiСharts

Greenroomhoo, use Arrow Down on your keyboard to go 1 row down.

greenroomhoo

when entering symbols it would be very convenient if when hitting "return" after entering the ticker, the selector then ticked down to the next row. Tab allows you to go accross the columns but return leave you in limbo. If you are quickly entering some symbols the return key going down a row would ...

greenroomhoo

To test my edge I ran my strategy on the basket of todays S&P 500 stocks going back to 1993. i have several questions: 1. My strat is set to only enter when Marketposition = 0. This results in the backtest trading one equity at a time. to have it backtest all instances, do i just remove that qualifi...

quantarb

That is great news Henry. One major improvement to walk forward optimization would be the ability for the out-sample of data strategy to access enough historical data so it can start trading on the first day. For example, suppose I only want to test a strategy that involves the 50 day moving average...

Henry MultiСharts

Hello quantarb,

We are going to improve multiple aspects of Portfolio Backtester by the end of the year.
The improvement you have mentioned is already in our "to-do" list.

quantarb

Hello, I was wondering when the portfolio back tester will have walk forward optimization. Right now you can back test baskets of stocks but without walk forward optimization there is no way to validate how well the strategies will perform ...

KeyDiver

... Open if DayOfWeek(Date) = 5 then Buy next bar at Open; You can see it buys on Monday and sells on Friday. I applied this Strategy to a BackTester portfolio of 25 ETF's. (I tried to attach a portfolio file to make it easier to test this, but the forum will not accept .pws files) If I set the Trade ...

Henry MultiСharts

add one instrument manually using Metastock and then import the instruments from a file, which seems to work.
Peter.

Hello Peter,

That is correct approach for changing the active data source.

petermcphee

... of Data2 by copying and pasting down the selection. The only question I have now is how to set the initial data source? When I first create a new portfolio/strategy I insert instruments from a file, however, because there is nowhere to set the data source it defaults to eSignal and hence cannot ...

mjm

I ended up solving this using the two-pass approach with an intermediate dummy symbol where I make the global trading decisions. I used the "ELCollections" library for its more sophisticated global data structures. I highly recommend this package for programmers who are wondering why EasyLanguage is...

Henry MultiСharts

Hello Peter,

The file should be in CSV format with only one column of instrument names.

If you have a symbol list in a file I would recommend you to import it in QuoteManager. Here is the guide.
Then you can add multiple instruments into Porftolio.

mjm

I have a question about the way the PosTrade* functions take account of the Commission and Slippage settings in the Portfolio Backtester. As an experiment I ran the same backtest with four different settings in the Strategy / Show Properties / Properties dialog (all given as per ...

Dave Masalov

... QuoteManager and MC were launched under different users. To make sure this never happens again, you may want to always run MC, QM, PLE and Portfolio backtester as administrator (right-click on the icon and click Run As Administrator).

petermcphee

Hi there, I'm using the Portfolio Backtester and want to import a large list of securities into a Strategy. I right + click on "Instruments" and select "Import Instrument List...", which asks for a CSV file, however, I can't find anywhere ...

Henry MultiСharts

Is there no way to do this with the scanner?

Backtesting/Trading is not possible with the scanner.

I have you got an approximate date for the Portfolio trading implementation?

There is no ETA for implementation of this functionality yet.

Albon

... Nevertheless I think it's the only way to do... but it's not automatic trading! @Henry Hello Henry, I have you got an approximate date for the Portfolio trading implementation ?

martingale

... tick bar? yes, i'm using 1 tick bar. I don't need a chart at all for this. I'm saving the value returned from LinearRegValue into a txt file in my portfolio backtester. If you don't use a chart for this, how/where do you apply this indicator? The chart does not have to be visible, but you must ...

TJ

... tick bar? yes, i'm using 1 tick bar. I don't need a chart at all for this. I'm saving the value returned from LinearRegValue into a txt file in my portfolio backtester. If you don't use a chart for this, how/where do you apply this indicator? The chart does not have to be visible, but you must ...

martingale

... tick bar? yes, i'm using 1 tick bar. I don't need a chart at all for this. I'm saving the value returned from LinearRegValue into a txt file in my portfolio backtester. is there a problem with tick level data calculation?

martingale

could anyone show me how to arrange the data in portfolio backtester for pair trade? I input the tick data for 2 symbols as in attached snapshot but only first symbol is traded all the time. http://www.multicharts.com/img/646_3.png Henry. I set ...

scuba

Hello all!

I'd like to be able to alphabetically sort the order of multiple charts within a Workspace.

Does anyone know how?

Say the contents of my watchlist or portfolio...

Thanks in advance.

scuba

Henry MultiСharts

Hello Albon,

Portfolio trading has not been implemented yet.
You need to apply a strategy to each chart you need to trade and enable automated order execution on it.

Henry MultiСharts

could anyone show me how to arrange the data in portfolio backtester for pair trade? I input the tick data for 2 symbols as in attached snapshot but only first symbol is traded all the time. does the first line of instrument list means data for ...

martingale

could anyone show me how to arrange the data in portfolio backtester for pair trade?
I input the tick data for 2 symbols as in attached snapshot but only first symbol is traded all the time.

does the first line of instrument list means data for signal1 and 2nd line for signal2?

arjfca

... My problem is I don't find the path registry location: HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Portfolio Under HKEY_LOCAL_MACHINE\SOFTWARE: I don't have \TS Support\MultiCharts\Databases\Portfolio I did look under KEY_CURRENT_USER\Software\TS ...

Andrew MultiCharts

... My problem is I don't find the path registry location: HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Portfolio Under HKEY_LOCAL_MACHINE\SOFTWARE: I don't have \TS Support\MultiCharts\Databases\Portfolio I did look under KEY_CURRENT_USER\Software\TS ...

TJ

... write buy "data1" at market; sell "data2" at market; You can only trade on data1. TJ, is there another way to work with spread? can we do that in portfolio backtester? Please review this Wiki article: Spread and Pair Trading https://www.multicharts.com/trading-software/index.php/Spread_and_Pair_Trading

martingale

if I have 2 data for 2 different symbol in my chart and want to buy on data1 and sell on data2, how to do this in PL.

do I write

buy "data1" at market;
sell "data2" at market;
You can only trade on data1.

TJ, is there another way to work with spread? can we do that in portfolio backtester?

arjfca

... Start button. Select Run. Type regedit. Press Enter. Find the Path registry key in HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Portfolio Change the path to new location of your database files. Find the Path and CashePath registry keys in HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Storage ...

Henry MultiСharts

... in case you have changed the instrument session settings. You need to do the following: 1) Close all of the charts using @EU# in MultiCharts/Portfolio Backtester. 2) Then go to MultiCharts->File->New->QuoteManager window. In QuoteManager make a right click on the @EU# instrument->Clear Cache. ...

scuba

... of contracts or shares to trade or how to get the program to use all my initial capital. My Settings: Exposure 100% Max % of... 100% Initial Portfolio Capital: $100,000 When I run a small portfolio of stocks it trades only one share of each stock (7 stocks in total)... Seems to be treating ...

JoshM

... should only issue 9 orders to not exceed the maximum of 10 open positions. What do you think, is such a type of system possible in MC.Net? The Portfolio backtest is not enough for me as I can't choose from stocks by ranking. Good question. I don't know if this is possible. In another thread, ...

TJ

... should only issue 9 orders to not exceed the maximum of 10 open positions. What do you think, is such a type of system possible in MC.Net? The Portfolio backtest is not enough for me as I can't choose from stocks by ranking. If you can imagine it, if you can visualize it, if you can quantify ...

bluejack

... should only issue 9 orders to not exceed the maximum of 10 open positions. What do you think, is such a type of system possible in MC.Net? The Portfolio backtest is not enough for me as I can't choose from stocks by ranking.

Henry MultiСharts

... is possible to achieve your goal with the help of the Global Variables . On the last calculation during the first pass (on the last instrument of portfolio) you can write down to the variables all information you need, on the second pass you can read this info and do further execution.

Henry MultiСharts

Hello Ricardo,

Sorry for misinformation. Custom Fitness Value is not available with Portfolio Backtester at the moment. We are going to improve Portfolio Baktester in the future and it should be added as one of the improvements.
You can use Custom Fitness Value in MultiCharts.

mjm

... it could decide whether to make the trade based on a review of all the other candidates. I experimented with this idea. As far as I can tell, Portfolio Backtester treats the first and second instances of symbol A as distinct entities. That is, the list above is effectively {A1, B1, C1, ..., ...

rgranero

Hi Henry, I don' t find it under the standard criteria list. What I miss?

The code:
if portfolio_MaxIDDrawDown<>0 and portfolio_netprofit <>0 then

SetCustomFitnessValue (portfolio_netprofit / absvalue(portfolio_MaxIDDrawDown) );

Attached the image.

Thanks Riccardo

rgranero

Hi, I saw (in the post) that Fitnessfunction should work in Portfolio backtester (product version 8.0.5620.401). But I don't find it.
Thanks
Riccardo

mjm

what I really want is a way to produce the list of candidate trades in one pass, and then sort and filter that list in a second pass before submitting the trades for execution It occurs to me that maybe I can do this by adding each symbol to the Instruments list twice, like {A, B, C, ..., A, B, C, ...

mjm

I'd like to use the Portfolio Backtester to simulate a strategy where the decision whether to enter a new position depends on proposed trades this bar for other symbols. For example, I might want to limit the portfolio to holding no ...

mjm

... guess meaning there are no settings to configure. I choose Instrument / Add Symbol / From Data Source / CSI, which opens the "Insert Symbols into Portfolio - CSI" dialog. I enter "AAPL" in the Symbol box, leave Exchange as "All Exchanges", and click Lookup. It finds one match: * Symbol: AAPL * ...

TJ

... on One Instrument - Manual Trading and Automated Trading on the Same Instrument at a Time - Realtime-History Matching Relevant articles in Wiki: Portfolio - Understanding Portfolio Backtesting - Backtesting a Portfolio - Portfolio Optimization - Additional info on Portfolio: FAQ - Portfolio Trader ...

Andrew MultiCharts

Could you provide exact steps to reproduce the situation so i could descuss it with engineers?

rgranero

In portfolio backtester, portfolio tree under each instrument symbol we can put only 4 instrument information (data2,data3,data4,data5). To use more then 4 will be a big improvement. Because we could run strategy based on ranking ...

henrywl

... run the optimizer or the backtest with the same setting, it complains the "From Date cannot be later than the To Date" Error And if I reopen a new portfolio with the same settings, for the From 29/5/2012 to 29/5/2012. Then it works without the complains "From Date cannot be later than the To Date" ...

henrywl

Well, But I am using the May's future with the From 29/5/2012 to 29/5/2012 from IB. And this setting is prefectly fine few hrs ago. Now I try to run the optimizer or the backtest with the same setting, it complains the "From Date cannot be later than the To Date" Error

Andrew MultiCharts

Obviously when your computer shut down the "from" date became later than your "to" date, that makes no sense. The dates should be reset manually.

henrywl

Actually, I just come across there's might be a problem, my computer accidently shutdown instantly, and I reload my saved portfolio I just did on Aug 20th, with the From date let say 29/5/2012 to 29/5/2012 on May's Future and it works prefectly fine. But I now reload the portfolio on ...

Andrew MultiCharts

Something in settings must be definitely wrong. If you can't figure it out, you can come to our live chat to ask our operators to help you with this. Remote access to your computer will be required.

henrywl

... set everytime I try to setup the backtester. But somehow the result are still different between computers. I try it back with the original saved portfolio computer and it return the same result. That keeps me wondering the test result are being correct or not, since with the same strategy and ...

Andrew MultiCharts

Portfolio Backtester should show the same results as MultiCharts if: 1. Data is the same (data source, resolution, data range, quote field and sessions). 2. Signals are the same. 3. Strategy Properties are the same (right ...

evdl

There can be a difference in historical data of IB that you collected yourself during realtime (in the quotemanager) and the historical data you get for example if you reload a chart (snapshot of realtime data, depending on your resolution settings). But to be sure you have the same data you can do ...

henrywl

Well I am using Historical future data instead of current future data. so all the data received from IB should be the same. But result are still different.. (very different)... Since I assume the calculation are based on close prices.. so they indicator calculation should be same all the time unless...

evdl

If you save the portfolio and open it another day, the data period is also possibly changed to the current day. Instead of the period you used before. That can make a difference. And if you open it on another computer, you have to ...

StefanoSF

I'm experiencing the same exact thing, with some results being 50% off the previous results.

henrywl

... setting, and same strategy but different result from one day to the other. I am using the IB's data feed Historical data, and even I saved the portfolio and open it from other computer on the other day, some results are the same and some are different. Is that normal??

Andrew MultiCharts

... However in this specific case GV should work because Kennedy performs vertical bar-by-bar calculation of the strategy on all of his data series in Portfolio Backtester and when he has GV on first series, he should be able to get those GV when script is calculated on next data series.

JoshM

... and passes this along to the class derived from IndicatorObject. In theory, the indicator class will then have access to the strategy's Portfolio properties by calling on the passed SignalObject. However, can someone tell me with what I should replace the 'this' keyword in the code below ...

MidKnight

... be missing stuff that you are trying to do.... I would imagine that you make a strategy and then, from that a strategy instance you access the portfolio property? I do not know if you can instantiate a strategy within an indicator though, but what you are trying to do is graph some strategy ...

JoshM

In looking at the help docs, it looks like you should be able to get the IPortfolioPerformance handle through the SignalObject public property Portfolio. Thanks MidKnight, no extra noise but a valuable idea. However, I haven't succeeded in creating a SignalObject ...

MidKnight

... general) so I apologize in advance for any extra noise this may create. In looking at the help docs, it looks like you should be able to get the IPortfolioPerformance handle through the SignalObject public property Portfolio. Hopefully this helps a bit, MK

TJ

are you looking at the chart in real time during the market hour?
or a chart off line?
I set GV in portfolio backtesting.
Does it work in backtesing?

GV is a real time tool. It is not designed for backtest.

Kennedy

are you looking at the chart in real time during the market hour?
or a chart off line?

I set GV in portfolio backtesting.
Does it work in backtesing?

evdl

Last week, after 5 days of unnecessary debugging, I found out that the outcome of backtesting between main MC program (on chart) and portfoliobacktester is different because of the portfoliobacktester not supporting IOG. I didn't know that. I assume that if barmagnifier is added to the portfoliobacktester, ...

justmake

Ok,thanks!

Henry MultiСharts

Hello Justmake,

That is not possible to change the chart type for Portfolio Backtester. It is operating with OHLC values of data.

justmake

Hello,

I am wonder if we can do portfolio backtester with renko chart?
It seems we can only select "instrument" and "strategy" from portfolio backtester, but cannot specify
in what bar chart the instrument will be.

Any insight?

thanks.

evdl

... I am trying to optimize. And this on the chart of the symbol I want to trade. (this is in case if I use MC main program to optimise) If I use the portfolio backtester I have the strategy on the chart and ofcourse I use it in the portfolio backtester. The sender code writes the data to a file. ...

evdl

... For example MT (Trxqen) and MT (AEB). I only did change the timeframe from 1 minute to 5 minutes. But did not select the symbol again. So portfolio backtester picks the symbol at the top and that was the MT with the datafeed without historical data. So if you change the timeframe you also ...

Henry MultiСharts

I have 1 min historical data of a symbol. In portfoliobacktester I try to backtest this symbol on 5 min and 30 min timeframe to see if my strategy is robust or not. When I do this, I get an error message (see attached picture). Does the backtester automatically use the 1 min data and generates an h...

evdl

I have 1 min historical data of a symbol. In portfoliobacktester I try to backtest this symbol on 5 min and 30 min timeframe to see if my strategy is robust or not. When I do this, I get an error message (see attached picture). Does the backtester automatically use the 1 min data and generates an hi...

ericvp

... plan B that requires an intermediary file output from my broker's software, and read in by Multicharts. Like you, I am anxiously awaiting the Portfolio Trader functionality. I just hope they make it workable for portfolios on the order of 100 Instruments (ie, too large to have a chart per ...

JoshM

... said that's not doable for your situation/setup. So I'm out of ideas, perhaps other users have an idea? Alternatively, you can wait for the portfolio trading to be implemented or you can add a feature request (you certainly would have my vote :) ) but this all is quite a lengthy road.

ericvp

... price paid. All other data (historical data, and real-time market data) I need, I can easily get in to the Real-Time Scanner (or perhaps into Portfolio Backtester, if that is a better way to go). (2) I am not using Multicharts to drive the actual trading in this account. (3) I typically have ...

rgranero

Ok, now works with setting in Max potential loss = 100%.

Well done, Portfolio_InvestedCapital and all the new global variable on Portfolio are very useful.

Thanks Henry!

Henry MultiСharts

Hello Rgranero,

Please make sure Big Point Value for the instruments you are using is correct in QuoteManager->Edit Symbol->Settings tab.

In Portfolio Backtester on Portfolio Settings tab please set the Max potential loss to 100% and try to backtest again.

rgranero

I just tried to buy 100 shares of NEE and 100 shares of NI and Portfolio_InvestedCapital was 0.2=(100+100)/1000. The sum of all the shares/1000.

The right would be the sum of the position in Usd like indicated by the manual.

I have just made the upgrade to the last version 8.0.5605.400.

rgranero

I have just dicovered who 5.7 is the sum of the contracts of NI and NEE / 1000... why?

rgranero

... shares next bar at o; if lastbaronchart then sell next bar at o; print(Portfolio_InvestedCapital,";",getsymbolname,";",date); I have applied it in portfolio backtestr to symbol NI and NEE to the last 100 bar from today. In the outpot file I have: 5.75;NI;1120619.00 5.75;NEE;1120619.00 5.75 isn't ...

lishan

Why there are Saturday and sunday trade record in the Portfolio Backtester and MC strategy report? I want to use trade record in the excel,so i want to delete the meanless Saturday and sunday trade record, How can I delete such record? please see the ...

Henry MultiСharts

Why there are Saturday and sunday trade record in the Portfolio Backtester and MC strategy report? I want to use trade record in the excel,so i want to delete the meanless Saturday and sunday trade record, How can I delete such record? please see the ...

lishan

Why there are Saturday and sunday trade record in the Portfolio Backtester and MC strategy report? I want to use trade record in the excel,so i want to delete the meanless Saturday and sunday trade record, How can I delete such record? please see the ...

greenroomhoo

they are fantastic. any chance they can be added to the scanner and portfolio backtester?
thanks

martingale

Let me clarify it. MultiCharts and Portfolio Backtester are separate applications. Available functionality is different. Chart type selection is not available in Portfolio Backtester. Only OHLC data values are used for calculation. That is ...

Henry MultiСharts

isn't portfolio backtester and multicharts windows runs separately? even i don't set chart type in charts windows, i can still perform backtest in portfolio backtester. so i don't understand why i need to apply a signal to the ...

martingale

... Backtesting starts as soon as you apply a signal to the chart. You can analyze the backtesting results in View->Strategy performance report. isn't portfolio backtester and multicharts windows runs separately? even i don't set chart type in charts windows, i can still perform backtest in portfolio ...

Henry MultiСharts

could we add this to next release?

Hello Martingale,

Chart type selection is not available in portfolio backtester. Only OHLC data values are used for calculation.

Please leave a feature request at this web page if you want to have such functionality in future:
https://www.multicharts.com/pm/

martingale

could we add this to next release?

Hello Martingale,

Chart type selection is not available in portfolio backtester. Only OHLC data values are used for calculation.

Henry MultiСharts

Hello Martingale,

Chart type selection is not available in portfolio backtester. Only OHLC data values are used for calculation.

martingale

if in my portfolio backtester, i want to use Heiken Ashi chart type instead of regular candle stick chart, how can i specify this?

thanks.

evdl

Hi Katrin, I am talking about the optimizing in the portfolio backtester. The optimizing on the chart in the main MC program has this option for both optimizing types, but I think the optimizing process in the portfolio backtester has not all the features ...

Katrin Yanenko

... Criteria tab of the Exhaustive Search Properties window or on the Algorithm-Specific Properties tab of the Genetic Algorith Properties window in Portfolio backtester. Is it not possible to use this in the portfolio backtester and only in multicharts via the chart? I am using the MC8.0RC Hi evdl, ...

Henry MultiСharts

Speaking of the Bar Magnifier, will the Bar Magnifier for the Portfolio Backtester someday be implemented? That would make the Portfolio Backtester significantly more useful (I don't use it now because of this), and with 64-bit the previous memory limitation ...

evdl

... Criteria tab of the Exhaustive Search Properties window or on the Algorithm-Specific Properties tab of the Genetic Algorith Properties window in Portfolio backtester. Is it not possible to use this in the portfolio backtester and only in multicharts via the chart? I am using the MC8.0RC

JoshM

Speaking of the Bar Magnifier, will the Bar Magnifier for the Portfolio Backtester someday be implemented? That would make the Portfolio Backtester significantly more useful (I don't use it now because of this), and with 64-bit the previous memory limitation ...

Dan122

Henry, I will use it in the portfolio backtester. The portfolio has 40 instruments, from those 10 will show and entry point in a given day. I need to choose 3 stocks (from this poll) based on the smallest RSI.
thanks
Daniel

Henry MultiСharts

... a professional coder. My question is fairly simple. I have 10 possible entries in one day. I want to rank then by RSI, to use 3 of them. I used PortfolioEntriesPriority=(100-RISI); and it didn’t work. Is it strings the way to go? Is there any example of this kind of code? Thanks Daniel Carvalho ...

Henry MultiСharts

... see 8.0 beta here https://www.multicharts.com/trading-software-download/ 2. i enabled 'bar magnifier' in MC chart window, and run my backtest in portfolio backtester on tick data, seems stop loss order still not exit at right price. is it possible due to my ver7.4 ? 3. what's the difference between ...

Dave Masalov

I am curious if there also plans to get this functionality and all other functions of backtesting what is already in multicharts also in the portfolio backtester? This functionality is available in Portfolio Backtester. For example the walk forward option and the use of all the reserved words ...

martingale

... see 8.0 beta here https://www.multicharts.com/trading-software-download/ 2. i enabled 'bar magnifier' in MC chart window, and run my backtest in portfolio backtester on tick data, seems stop loss order still not exit at right price. is it possible due to my ver7.4 ? 3. what's the difference between ...

evdl

... Dave, I am curious if there also plans to get this functionality and all other functions of backtesting what is already in multicharts also in the portfolio backtester? For example the walk forward option and the use of all the reserved words in the custom edit script. And on my wishlist, the option ...

TJ

... has already bought, even though it is in sync mode. Also the API tab in TWS does not show anything, all API position are simply put under the portfolio tab. Is that related? Other then this TWS to MC execution seems alright. I mean when you close MC and it askes you "ur still have X positions, ...

aczk

... has already bought, even though it is in sync mode. Also the API tab in TWS does not show anything, all API position are simply put under the portfolio tab. Is that related? Other then this TWS to MC execution seems alright. I mean when you close MC and it askes you "ur still have X positions, ...

evdl

I have read some post about this on the forum from awhile ago. Mainly for optimizing purposes in the portfolio backtester, it would be nice to speed up this process. I have a high end pc and it takes some time to test my strategies (mostly around 20 hours) I came across this ...

martingale

... on the close of the current bar and sent on the opening tick of the next bar. so is there a way to go back to the begin of the bar and force portfolio backtester to enter a stop trade at ( avgEntryPrice +/- stoploss ) level at the close of a bar? This Bar on Close order is sent on the close ...

Henry MultiСharts

... on the close of the current bar and sent on the opening tick of the next bar. so is there a way to go back to the begin of the bar and force portfolio backtester to enter a stop trade at ( avgEntryPrice +/- stoploss ) level at the close of a bar? This Bar on Close order is sent on the close ...

TJ

... by the user in the Calculations tab of the Format Signal window: where is the calculations tab? which format signal? from multicharts window or portfolio backtester or PLEditor itself? i'm quite lost. After you have applied the strategy to your chart, Right click on the chart, Select Format ...

martingale

... by the user in the Calculations tab of the Format Signal window: where is the calculations tab? which format signal? from multicharts window or portfolio backtester or PLEditor itself? i'm quite lost.

martingale

... to calculate at every end of 3 min cycle, but definitely won't reach my purpose.. so is there a way to go back to the begin of the bar and force portfolio backtester to enter a stop trade at ( avgEntryPrice +/- stoploss ) level at the close of a bar? thanks

siscop

1. Are you planning to implement the Portfolio Trading in 1a MC 1b MC. NET 1c both? 2. Will it be possible to activate a strategy Datafeed: IQfeed Broker: IB So independently of IB so that a ticker from IB would only be used when we have a ...

evdl

Thanks Henry for the explanation. My mistake. In the portfolio performance report, you can click on breakdown by symbols and then click overview. You then see the symbol(s) you are backtesting. Click on the symbol and you get the strategy performance ...

Henry MultiСharts

Hello Evdl, No changes were applied to the Portfolio Performance Report. Portfolio Performance Report and Strategy performance report of MultiCharts always contained slightly different parameters. Please vote for this feature request if you want ...

evdl

If I am not mistaken there are some changes in the portfolio performance report. In the trade analysis there are only the "List of Trades" and the "Total Trade Analysis". There used to be the same info like "drawdown P/L" and much more, as there still ...

Henry MultiСharts

Account size requirement is the amount of money you need to have on your account (besides the initial trading capital) to compensate the drawdown. It is the warranty provision to avoid margin call. The calculation is simple: abs(MinCloseToCloseDrawDown).

siscop

Hi, I am using MC8 beta3 64. Situation: Portfolio Backtester is running with freequotes. Connected to TWS and just closed the last chart on MC that was connected to IB. Waited a while until QM stopped showing updated messages on the log I close ...

pschriber2

Hi Henry,

When I change the contracts to say 1000, I still only get a cash requirement of around $500. The performance report says it bought 1000 contracts at a price of 1.44485 each, so I can't figure out why it is giving me such a low cash requirment when I'm not leveraging my position.

Thanks

Henry MultiСharts

You need to specify the amount of contracts you want to buy in Porfolio Backtester. Please make a right click on the strategy name in the Portfolio Tree at the left-> select Show properties. Once you specify the proper amount or contracts according to your lot size and backtest it - account ...

pschriber2

Hi, I was running a backtest for a strategy based on a data stream from Interactive Brokers. However, when I run the backtest and look at the performance report it gives me a large value for number of contracts (>4000) even though the maximum capital I have allocated for trade is $5000. Since ForEx ...

Henry MultiСharts

... инструмента с данными (Quote manager-> Правой кнопкой по инструменту->Export data->Export instrument) и workspace, который Вы используете в Portfolio Backtester.

Aaron

MultiCharts64 8.0.5203.202 Почему Portfolio Backtester пропускает от 932 до 1110 утра когда я пользуюсь 2-мин. интервалом и смотрю на один день? Посмотрите пожалуйста Print Log в этом снимке: http://i40.tinypic.com/2mpa1rp.jpg Должно начиться ...

bomberone1

We need all features of Market System Analyzer (MSA), Rina Portfolio Maestro, Sirtrade Portfolio.

MC should choose automatically the best money management solution for our portfolio, that give us aggressive solution, low risk, max performance ecc..

Xyzzy

I'm very happy to hear this! I've been looking forward to this feature for some time. Here's my "wish list" of features for a portfolio auto-trading system (sorry that it's so long): 1. The portfolio trading strategy is organized and controlled within something like the scanner window ...

khalaad

A few days ago I ran a portfolio backtest on data starting January 2012. The report returned some astronomical Calmer numbers. I fail to understand this as Calmer Ration requires at least 3 years of data, and a 3.0 Clamer is outstanding. ...

Dave Masalov

Thank you all for your comments. We will take them into consideration. If you have any further ideas and suggestions please do not hesitate to post them here.

khalaad

Similar things may have been already said, but I wish to reinforce:

• the ability to auto trade DJIA constituents from DJIA chart;
• the ability to auto trade USD pairs from a dollar index chart; or
• the ability to auto trade any constituent of any index from the index chart.

Khalid

Henry MultiСharts

Hi, I just moved to a new Windows 7 PC, and see an odd problem within Portfolio Backtester. Everything else has gone fine with the transition: I get the exact same results when I run a BackTest using the same Signals and Instruments on the old and new PCs. ...

ericvp

Hi Henry,

Thanks for the definitive reply.

Take care,
Eric

Henry MultiСharts

Hi Henry, Thanks for starting that thread. I posted my two cents. In the meantime, what is the best way to go about implementing real trading for a 100 instrument strategy? Thanks, Eric In MultiCharts you can trade from the main data series only. You can base the calculation of your strategy on add...

ericvp

Hi, I just moved to a new Windows 7 PC, and see an odd problem within Portfolio Backtester. Everything else has gone fine with the transition: I get the exact same results when I run a BackTest using the same Signals and Instruments on the old and new PCs. ...

Henry MultiСharts

Hello Splint, You can find more information regarding Portfolio Money Management at this page. You can set the slippage and commission in the Format Settings->Properties tab. Right-click on the strategy in the portfolio Tree. Select Show Properties. ...

furytrader

When it comes to constructing such a "panel", it would be cool too if PowerLanguage gave the ability to post notes or messages to a column on the panel so, for example, a trader could be alerted when certain things are happening in the markets being followed - or a trade is about to fire, etc. It ca...

JoshM

We are working on the Portfolio Trading feature and would like to hear your thoughts and ideas regarding the visualization of the Portfolio Trading. What are the technical features of the Portfolio Trading feature, since these will ...

Splint

... by the system vendor. I would like to see if Multicharts can replicate these reports. What I'm unclear about is how I would do this in the Portfolio Backtester. From what I understand the system has all money management values built in and assumes sufficient funds to trade one contract ...

ventus

I think the entire point of "portfolio trading" is to eliminate charts from the automated trading process. Having to apply a strategy to every chart and do this for every market-strategy combination in your portfolio becomes a daunting ...

ericvp

Hi Henry,

Thanks for starting that thread. I posted my two cents.

In the meantime, what is the best way to go about implementing real trading for a 100 instrument strategy?

Thanks,
Eric

ericvp

Here is what an ideal version of Portfolio Trading would look like to me: It would enable me to take the collection of Instruments, Signals, and settings that I am currently running in Portfolio Backtester, and use them to begin automated ...

furytrader

This sounds very cool - do you have a mockup or something we could look at? Related to Portfolio Trading is the idea of spread trading ... which PowerLanguage (and EasyLanguage) don't handle well at all. It would be great to see the ability to easily work related trades ...

Henry MultiСharts

Hi, I also have need for what Marina called "portfolio autotrading" back in June of 2008. I've been using Portfolio Backtester for a handful of months to evaluate strategies involving about 100 instruments. In those evaluations, I've made use of ...

Dave Masalov

Dear users, We are working on the Portfolio Trading feature and would like to hear your thoughts and ideas regarding the visualization of the Portfolio Trading. What we are going to implement is a simple (at first) price bar chart showing ...

ericvp

Hi, I also have need for what Marina called "portfolio autotrading" back in June of 2008. I've been using Portfolio Backtester for a handful of months to evaluate strategies involving about 100 instruments. In those evaluations, I've made use of ...

Henry MultiСharts

But this only gives information on trades on the current chart - correct?

That is correct.

What if I have 10 charts open and want to see the portfolio performance of the 10 charts?

Unfortunately there is no such feature in MultiCharts at the moment.

bauhinia

THanks Henry, But this only gives information on trades on the current chart - correct? What if I have 10 charts open and want to see the portfolio performance of the 10 charts? I dont think I can see this info - hence why I need to download in excel the orders and calculate the PnL from there. ...

Henry MultiСharts

Hello Andrew,

Have you checked the "Strategy performance report" for auto trading and "Trading performance report" for chart orders analysis in View tab of MultiCharts?

bauhinia

Hi Henry,

When trading I am finding it very difficult to track PnL on live strategies.
I would like to be able to calculate the PnL from the exported orders file in excel.

Or if MC could create a portfolio report of actual trades that would be great.
Cheers
Andrew

SAL

Hey Josh, I just figured it out. Apparently I was using the Portfolio Backtester, which does not support some of these reserved words. Multicharts supports a few more reserved words than the portfolio backtester, a list can be found here: http://www.multicharts.com/trading-software/index.php/Performing_Optimization#Custom_Criteria

gisforgringo

When using Portfolio Backtester and when using MC backtester in backtesting mode = classic I have developed a profitable startegy. When backtesting in extended mode with using Bar Magnifier with tick-by-tick data, the strategy ...

Henry MultiСharts

Hello Tony,

The limitation for the amount of symbols in Portfolio Backtester has been removed in MultiCharts 64 bit.

bauhinia

... only place where you get to see all of your trades. From that I am looking to download to excel then create a trading performance report for the portfolio. I am wondering if anyone has created an excel tool that will display PnL for portfolio and then have the ability to drill down to strategy ...

Henry MultiСharts

... Buy and hold return is calculated for the data range present on the chart. You can specify the period of 2000 - 2011 in the Data Range settings of Portfolio settings. 2) You can find the descriptions by clicking on the name of the group (Strategy analysis, Trade analysis, etc) or by clicking on ...

Henry MultiСharts

Hello Bauhinia,

Please describe your question in details.
Do you refer to the Portfolio Performance Report or MultiCharts Order and Position Tracker?

johnmok

thanks a lot, completely solve my problem

bauhinia

Hi All,

just wondering if anyone has created a portfolio P&L report in excel from the data that is available in the positions manager?

I am finding it difficult to track PnL by strategy and wanted to see if anyone had any solutions to this problem?

Many thanks.

greenroomhoo

Wow many many thanks for this.

Xyzzy

D'oh! Good catch.

txls

Code: Select all

If LastBarOnChart AND MarketPosition = 1 then begin

if Marketposition <> 0, no?

Xyzzy

... = 1 then begin Sell this bar at close ; BuyToCover this bar at close ; end ; You can just add this additional signal to your existing portfolio, rather than having to add custom code to each and every script. This is adapted from some code by Sunny Harris in TS Made Easy. (A good introductory ...

rgranero

Ok Henry, Please to cosider to extend Bar Magnifier and the improvement to Portfolio Backtester too. Portfolio Backtester is a formidable tool (global variable like Portfolio.netprofit are very useful!!) and one (with many other) of the benefit to work with MC. ...

greenroomhoo

ok thanks.

Dave Masalov

Hello greenroomhoo, Is there away to have it close all trades so there is no Open Position PL? You want to see portfolio performance report with all positions closed (no Open Position PL), is my understanding correct? The only way to do so is to close the positions using your ...

XIKON

Dear Henry,

Many thanks for the help. It is working now. All settings were identical except the data range. I had forgotten to include a range rather than bars back.

Many thanks again.

Best regards,

XIKON

greenroomhoo

Is there away to have it close all trades so there is no Open Position PL?
Does the Gross/Net Profits include the Open Position PL?

thanks

64 bit ROCKS

ericvp

Hi Henry, Thanks for the definitive response. I beg to differ on the assertion that Sharpe Ratio can't be calculated for a portfolio. The sequence of periodic returns for the whole portfolio is all you need to calculate the Sharpe Ratio. After all, Bill Sharpe invented the Sharpe Ratio ...

Henry MultiСharts

Hello Eric, Unfortunately Sharpe ratio is not available for the portfolio of symbols. Portfolio consists of different symbols with different price levels and the strategy can be long on one symbol and short on the other at the same time. Therefore, it is ...

ericvp

Hi Henry, Thanks for your response. I should have been more explicit in my question. I am interested in the Sharpe Ratio for the portfolio I am backtesting, not the individual instruments. There are over 100 instruments in my portfolio -- over any given period of time, some of those end ...

Henry MultiСharts

Hello Xikon, Please make sure that you have one instrument both in MC and Portfolio Backtester. The Data Range should be specified as From_ To_ and not Days/Bars Back. The resolution should be the same both in MC and Portfolio Backtester. The settings in the ...

Henry MultiСharts

Hello Eric,

You can find Sharpe ratio as well as other ratios in Breakdown by Symbols section of Portfolio Performance Report.

XIKON

... The report I am getting under strategy performance report has got me in a trade on a certain date. However when the same strategy is run under portfolio backtester it doesn't get me in the trade. Not sure why I am getting two different results. I have looked at the settings and nothing seems ...

ericvp

Hi, When looking at the Portfolio Backtester > Portfolio Performance Report > Strategy Analysis > Performance Ratios, I only see "Portfolio Net Profit as % of Max Portfolio Drawdown" listed. I don't see a way to add other performance ...

Henry MultiСharts

Hello Greenroomhoo, When you start Portfolio Backtester "Active Data Source" is written in the bottom right corner of the application window. By default it is eSignal. You need to add an instrument from your data feed (IQFeed), then IQFeed ...

greenroomhoo

What is the best way to do this? I created a list of say every stock with beta>1.5 (200+) in a csv. When I import the list into the portfolio backtester, they are not showing up as my data provider's symbols (IQFeed). I have loaded every equity on the planet into Quote manager from IQ feed ...

ericvp

... I'm trying to do, and a couple of thoughts on how I might go about it. Any and all suggestions/ critiques gratefully received. Simple case: In Portfolio Backtester, I'm running five signals against 100 US-listed stocks with a daily bar length, going from 2002 to the present. I've imported the ...

Katrin Yanenko

Hi, The report in Portfilio Backtester is also full and contains the same data and tabs. Please Extend the Breakdown by Symbol section and select Overview. In the Overview you can see the list of instruments. If you left click on one of them you'll see the full Strategy Performance Report for this p...

Henry MultiСharts

... Also, you didn't mention average annual return / CAGR (useful especially testing many years of data)? You don't intend to include this in portfolio backtester? I have not seen this statistic. I think it would be useful, for what it's worth. Account. size required=MinCloseToCloseDrawDown ...

DukeNukem

... Also, you didn't mention average annual return / CAGR (useful especially testing many years of data)? You don't intend to include this in portfolio backtester? I have not seen this statistic. I think it would be useful, for what it's worth.

Henry MultiСharts

... contract? Also I looked at the annual periodic analysis but didn't see an average annual return %. I don't know if this percentage is included in Portfolio Tester but I think it would be a very useful addition if it's not there. Thanks In case your symbol settings are correct-Portfolio values ...

JoshM

Just in case other users are looking for the PM entry, it can be found here:

MC-787 - Bar Magnifier for the Portfolio Backtesting

Just added my vote.

Henry MultiСharts

Hi everyone and happy new year! Just one question, is the "bar magnifier" option is planned for the Portfolio Backtester? This would be so great to be able to test strategies with that. Thank you! Hello Roumeau. Thank you for your suggestion. Unfortunately this feature has ...

DukeNukem

... contract? Also I looked at the annual periodic analysis but didn't see an average annual return %. I don't know if this percentage is included in Portfolio Tester but I think it would be a very useful addition if it's not there. Thanks See the attached pic highlighting my questions. How is the ...

Roumeau

Hi everyone and happy new year!

Just one question, is the "bar magnifier" option is planned for the Portfolio Backtester?

This would be so great to be able to test strategies with that.

Thank you!

Henry MultiСharts

... a way to circumvent required account size in live trading perhaps by trading mini/micro futures instead of full sized contracts? Also does the portfolio tester include average annual % return or is there plans to include this? Thanks -Andrew Hello Andrew. Account Size Required-the amount of ...

johnmok

thanks a lot! i've got the same result now, my second question is why there is more information provided in the report in mc compare with that in backtester? (as shown in the screenshot above)

is there any option to have a "full" report in backtester's report?

thanks!

DukeNukem

... a way to circumvent required account size in live trading perhaps by trading mini/micro futures instead of full sized contracts? Also does the portfolio tester include average annual % return or is there plans to include this? Thanks -Andrew

khalaad

... offered by MT4 is eliminated now. I say "stupid hedging" because it has nothing to do with hedging which consist of covering an instrument or a portfolio by another one. The purpose is not to close out your position but to remove one of the variable of your risk. For instance if you are a volatility ...

Fabrice Daniel

... offered by MT4 is eliminated now. I say "stupid hedging" because it has nothing to do with hedging which consist of covering an instrument or a portfolio by another one. The purpose is not to close out your position but to remove one of the variable of your risk. For instance if you are a volatility ...

Katrin Yanenko

Hi johnmok, Please make sure that you have one instrument both in MC and Portfolio Backtester. The Data Range should be specified as From_ To_ and not Days/Bars Back. The resolution should be the same both in MC and Portfolio Backtester. Please check that the ...

johnmok

as title stated, i found the results have significant difference for backtesting inside MC and that from backtester, all setting(e.g. signal, start capital, etc.)are the same, but they just give different result. screenshot shown as below for reference, did i miss anything to get this result? thanks...

DukeNukem

Hello, how would I backtest a daily bar strategy (in portfolio backtester) on multiple instruments with tick / minute / second resolution? Thanks in advance

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