Portfolio

flipflopper

... a whole new light. MultiChart Pro's: * Best Charting on the Market. * Easylanguage has tons of documentation and is easy to use and implement. * Portfolio Backtesting. * excellent data management with the ability to import ASCII. * Walk forward optimization. MultiChart Cons: * No ability access ...

flipflopper

Glad to hear you will be implementing this soon. I am correct because you are talking about the portfolio backtester in your response. The quote that I pulled from the site is referring to portfolio trading. The reason I posted PTMultistation is since you are getting into ...

Andrew Kirillov

I believe your assumption is not correct. Our current portfolio backtester is a simulation tool that considers all important factors in a simulated trading. It doesn't need account equity, buying power, available margin, because all transactions are ...

flipflopper

I pulled this quote off the Multicharts website under portfolio trading: "A dynamic portfolio strategy is more then simply a collection of separate strategies, and takes in to account a number of additional factors, such as capital limits, entry orders ...

Andrew Kirillov

... at time. I think it means your objectives. 1. Name of property in the object StrategyPerformance Description Available in MultiCharts Available in Portfolio Optimization NetProfit Net Profit Yes Yes GrossProfit Gross Profit Yes Yes Gross Loss Gross Loss Yes Yes TotalTrades Total Trades Yes Yes ...

geizer

... use capital at all times while never risking more then a certain percentage at any given time. Without the ability to create strategies on the portfolio level it is impossible to know what is going on in the big picture at any given time. Well said. The capital (Risk) management should be the ...

flipflopper

1. Has the ability to trade a portfolio of instruments. a) Multicharts allows me to backtest and optimize a portfolio but when it comes to trading I have to add each individual instrument and apply the strategy to it. This makes it very ...

Anastassia

You can backtest and optimize a portfolio.... can you trade a portfolio the same way?

Dear flipflopper

Currently a portfolio cannot be traded in MultiCharts. This is a high-priority feature and we are planning to implement it in the near future, although there is no ETA yet.

flipflopper

You can backtest and optimize a portfolio.... can you trade a portfolio the same way? Or do you have to add your signal to each individual symbol in different charts? This makes money management a bit difficult since your strategy won't know ...

flipflopper

Wow. This seems like a major weakness. I can't imagine how one can properly allocate funds in a portfolio is the program doesn't even know how big the account is!!

TS let us know if there is a possibility to add a keyword to return total account equity.

wegi

My systems scans all Nasdaq100 stocks and i only trade 1 to 5 different stocks, only the first signal will be traded. Its a stock portfolio system. at the moment i trade this one with tradesignal std. edition, but i want to switch to the datafeed of IB, so i look for a solution to do the ...

wegi

Hi, is there a way to autotrade a lot of stocks with the same strategy ? I want to trade all nasdaq100 shares. One way would be to setup 100 Charts - not sure if MC can handle this. Is there an other way ? I don´t need real routing against IB, it would be enough to see the position in MC. This is be...

SiliconTiger

I have a trading system that I would like to test against ~100 different stocks. I'd like the Portfolio Backtester to test each stock one-by-one, using the same genetic testing optimization settings for each. Is there any way to set this up such that I don't have to manually ...

Spaceant

Hi Erik, Just to share what I did when using optimization. After each optimization, you can save the settings by saving the (Portfolio Workspace) pws file. Therefoere, you will have the same settings when you re-open the pws again next time. However, it is often that you will do some, ...

TradingPro

I need to report that some of the calculations being reported by Portfolio Backtester Portfolio Performance Reports are incorrect. Here is one simple example of data being reported on 3 markets MARKET NETPROFIT TRADES AVGNP/TRADE AAPL 17,640.04 152 116.05 ...

Spaceant

Well, does anyone tred Walk Forward Optimization?

I just can test it on a chart with strategy applied on it, but can do it in Portfolio Backtester..... strange... also,can't print it out or store it for investigation afterwards......

Can anyone hlp?

Sa

Trader79

Hello, i have a problem to correct use PORTFOLIO BACKTESTER, i need create my real trading platform, but i have error when i start it. my strategy use timeframe mix, for example (5 min - Daily) or (5 min - 60 min) .... and other. I set Data ...

HedgeFoundManager

Integration Rina Portfolio Evaluator

Why do you need it?

It should be like omega2000i.

Multiple account management for hedge found

Do you mean IB FIA?

Yes

Trader79

Hello,
can explain me why i have this error when i start portfolio backtest of my 30 signals?

More have 2 timeframe, for example 5 min and Daily or 60 and Daily.

Thanks a lot.

Spaceant

1) Please addthe feature to enable user to define other "criteria" to be optimized when doing the optimization using Portfolio Backtesing. The existing criteria are now - Net Profit, Gross Profit, Gross Loss, etc.... 2) An option to choose the treat the "condition" is true, as the ...

Andrew Kirillov

... and also swithch futures in real time without stop trading system. It is done, but we don’t rollover the future automatically. Integration Rina Portfolio Evaluator Why do you need it? Multiple account management for hedge found Do you mean IB FIA?

HedgeFoundManager

... status of mc desk like reuters3000 or bloomberg trading desk HTC e DFM EMPROVED to catch big robots......and how to defend.... Integration Rina Portfolio Evaluator Multiple account management for hedge found Thats all....now.... :-)

glen demarco

... will prompt to keep the current database or remove it. In case you remove the old databases: Custom Exchanges ? will be lost Symbols added to portfolio ? will be lost Custom Sessions templates ? will be lost Custom Symbol settings ? will be lost Data collected ? will be lost if not exported. ...

bwb

saving the portfolio performance is still problematic: last night it took over 5 hours to save to excel a file that is only 17mb...

being able to copy/paste from parts of the portfolio performance report would be very useful.

Spaceant

... type of orders. 4) Does it have the same understanding for both IOG disabled or enabled? 5) I know that the difference of the above two orders in Portfolio Backtester - Order 2 uses bar close while Order Order 1 uses next bar open for calculation. It makes sense to me. 6) BTY, what type of order ...

Stanley Miller

... recognized. Backtesting and Optimization 1. Memory leaks during optimization if the optimized strategy plots drawings. 2. Problems when exporting Portfolio Performance Report. 3. Commission specified for Strategy 1 is applied to other strategies as well. 4. Portfolio crashes if a signal applied ...

bwb

regarding 1) above: i saved 2 portfolios: the only difference between the two being one is set up for a custom optimization and the other a 'regular' optimization based on net profit. the latter portfolio performs/calculates just fine. the ...

LTG

I'm trying to run a portfolio back test on a basket of currencies; however when I run the report, it shows the currency with a size of 1, instead of 100k. When I run the portfolio back test on futures it works fine. Is it not possible ...

Dug

... have been trading (profitably) for 15 yrs so i have a good understanding of this aspect of it.) While certain systems offer backtesting (its not portfolio level), others offer charting but crap testing. MC might offer what we need. So my logic is fine, its a matter of ensuring I learn the logic ...

bwb

hi i've been experiencing recurring problems with the portfolio backtester: 1) when i optimize, after a very lengthy period of connecting to the data, the report results are displayed. then when i go to click on backtest the software 'freezes up'. this ...

marekj

... is large. MC is able to display only 5-6 trading days of ES using 1 tick bars. This creates a problems to back-test strategy. I did expect that Portfolio Backtester will not have the same limitation (it doesn't need load to memory all bars at once), but surprise, the same limit exists too. Can ...

Dug

... am stuck. If i try something such as "X contracts total" to tell the program to exit a set number of contracts i get a workaround, but then when i portfolio back test the numbers get screwed up when i test using a percentage of the equity portfolio. So I thought it had to be left as just trying ...

Dug

... works as i am relatively new to programming. So moving it around does not make much difference. Basically ... given the bugs talked about in the portfolio testing re drawdowns, and the fact that we have our own excel based system (very slow...unfortunately) to test things, what i wanted to do ...

Dug

Hi, as a suggestion. Allow most things to be exported to excel for greater flexibility.... eg; the scanner window data. Portfolio performance reports - individual sections and not the whole thing. That way people can easily use the flexibility of excel to do things that they require ...

Andrew Kirillov

---- Reason: Portfolio Equaity is not sufficient to open new positions and the new order is ignored until one of the existing positions will be closed to free some capital. ==== Your settings have 1000000 as an initial capital. ...

Stanley Miller

... added. Historical and real-time tick, minute and daily data is available. BUG FIXES Backtesting and Optimization 1. Under certain conditions, Max Portfolio Close to Close Drawdown in Portfolio Report does not match values on the Equity Curve with Close to Close Drawdown graph. 2. When different ...

Stanley Miller

... added. Historical and real-time tick, minute and daily data is available. BUG FIXES Backtesting and Optimization 1. Under certain conditions, Max Portfolio Close to Close Drawdown in Portfolio Report does not match values on the Equity Curve with Close to Close Drawdown graph. 2. When different ...

Andrew Kirillov

Does it happen in portfolio back testing? Could you send your workspace and signal?

Stanley Miller

... added. Historical and real-time tick, minute and daily data is available. BUG FIXES Backtesting and Optimization 1. Under certain conditions, Max Portfolio Close to Close Drawdown in Portfolio Report does not match values on the Equity Curve with Close to Close Drawdown graph. 2. When different ...

MC_Prog

Hi. In the Portfolio Backtester, the Optimize button takes you to optimization setup, after which you are forced to start the optimization (when you exit the dialog). This is very bad. :( Please find a way to separate the setup ...

MC_Prog

Hi. In the Portfolio Backtester, the date format is: dd.mm.yyyy Below is for March 6 thru August 5 . http://forum.tssupport.com/files/dd.mm.yyyy_124.png In a chart, when setting up a symbol, the date format is: mm.dd.yyyy http://forum.tssupport.com/files/m.d.yyyy_177.png ...

ts2mc

... exactly leads to this, unknown. How does it look? You haven’t illustrated. - very simple: on start qm, you find collect R/T again switched off. - portfolio backtest settings asks for saving even if nothing has changed. Program doesn’t check if you changed it and ask anyway. It is not a bug, but ...

Andrew Kirillov

... - bug: settings for collecting realtime data lost very often. what exactly leads to this, unknown. How does it look? You haven’t illustrated. - portfolio backtest settings asks for saving even if nothing has changed. Program doesn’t check if you changed it and ask anyway. It is not a bug, but ...

ts2mc

... collecting realtime data lost very often. what exactly leads to this, unknown. (there is no setting to switch on for all symbols in all groups) - portfolio backtest settings asks for saving even if nothing has changed. - bug: portfolio backtest can't be run as option is disabled. - bug: portfolio ...

ts2mc

the package attached contains the signal and the workspace.

by the way: each time you open portfolio backtester,
you need to explore your favor portfolio. it is not saved.

Andrew Kirillov

Take a look at the portfolio screenshot I sent. It has DIFFERENT sessions for different symbols. Thus number can be different. You screenshot may have the same sessions and it will bring you identical number of bars.
Please check it.

Andrew Kirillov

According to the log we presume that data for GBP.JPY and
AUD.CHF symbols start later than for other symbols in the portfolio.
Your attached workspace is an example. See attached.

ts2mc

Hello Andrew, i see your argument with gaps and matching timestamp and agree of course. however, please look at a dump of another run below. this portfolio has 3 strategies each with 2 symbol pairs. all settings are the same, including max. bars back. there is in fact only 1 strategy, which makes ...

ts2mc

Hello MC team, i setup a portfolio backtesting over 4 symbols. each symbol has a 2. symbol as datarow. the range over all symbols is 50 days back, based on 1 min bar. in a chart window, where i have attached all symbols involved, with ...

Andrew Kirillov

I have found that the "Max Portfolio Close to Close DrawDrown" is somewhat incorrect. The figure shown in the report seems over-state the actual number.

When I have time, I will post the finding for discussion ....

Sa

Confirmed.

Bug Priority: Blocker

We will resolve it in the next Beta.

Andrew Kirillov

The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect.

Confirmed.

Bug Priority: Blocker

We will resolve it in the next Beta.

Spaceant

The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect. I have found that the "Max Portfolio Close to Close DrawDrown" is somewhat incorrect. The figure shown in the report seems over-state the actual number. When I ...

ppan

The "Max Intraday Drawdown" in Optimization report of Portfolio backtester is incorrect.

Marina Pashkova

- if you apply strategy to portfolio and backtest it, it can happen, that PB says: "tried to reference more bars back..." within PB (portfolio backtester) you can't change those settings (or change an input parameter). you need to open ...

Marina Pashkova

hello, it seems, that portfolio backtesting does not allow to apply different signals or same signal with different parameter values to different symbols. it seems, that portfolio backtesting simply applies 1 or all signals to all symbols ...

Marina Pashkova

Hi randomname,

Strategies that plot drawings cannot be used in Portfolio Backtester. You will need to re-write your strategies and eliminate the drawings.

Stanley Miller

... is awaiting data for Bar Magnifier’ and no signals appear on a chart. 5. Backtesting crashes if run when a strategy performance report is open. 6. Portfolio crashes if a signal applied to the portfolio is modified and recompiled after backtesting. 7. Wrong message is shown in the portfolio backtester ...

SiliconTiger

I am running MC Version 5.0 Release (Build 2369) on Windows XP Pro SP3 on a quad-core Intel CPU. I noticed when using the genetic optimizer that for awhile at the beginning of an optimization run that all 4 CPUs are max'ed out during the run (looking at the Performance tab of the Windows task manage...

randomname

So has anybody else found this bug? The strategy works great in multicharts but when I try to run it in the portfolio backtester no trades are generated. Please let me know if I am doing something wrong

ts2mc

- if you apply strategy to portfolio and backtest it, it can happen, that PB says: "tried to reference more bars back..." within PB (portfolio backtester) you can't change those settings (or change an input parameter). you need to open ...

ts2mc

hello, it seems, that portfolio backtesting does not allow to apply different signals or same signal with different parameter values to different symbols. it seems, that portfolio backtesting simply applies 1 or all signals to all symbols ...

Stanley Miller

... correctly . Backtesting and Optimization 1. Memory leaks during optimization if the optimized strategy plots drawings . 2. Problems when exporting Portfolio Performance Report . 3. Commission specified for Strategy 1 is applied to other strategies as well . Autotrading 1. Orders are sent to TWS ...

Andrew Kirillov

... optimized values automatically inserted into the strategy, when the optimization is complete, like TS2ki does. It saves time. TS doesn't make a portfolio optimization. If you are talking about a single instrument optimization then just double click on preferred set of parameters in the optimization ...

Andrew Kirillov

randomname, are you sure you make correct tests? If so could you be specific. We need illustrations. I'm quite confident that the Portfolio Backtester works properly we just need to know what is wrong in your setup.
We need screenshots that prove that there is a bug.

randomname

Anybody? The portfolio backtester optimization is worthless right now, this feature would set MC leaps and bounds ahead of any other software. I guess no one else has even bothered to try it.

Please fix this support!

randomname

This has been an on going problem since the development of the portfolio backtester. Any time I try and run an optimization on any criteria. I basically get what a random number generator could produce. None of the figures are correct, and all of the supposed ...

RobotMan

Hi Nick, Well, the emphasis of development for MC is more for systems and portfolio testing and not for discretionary scalping. It's the law of diminishing returns really. So I don't expect to see any 5 level deep bids and offers displayed soon. I agree with ...

arnie

... and Down arrow key. Why does it takes all of that time to select multiple stocks? It takes at least 2 seconds to select each stock :? 2. Why does Portfolio Backtester have eSignal datafee by default. How can we change that? Shouldn't it recognize the datafeed that MC is running?

Stanley Miller

... lines or on a trade in the List of Trades and have the chart scrolled to the respective trade and have the entry arrow highlighted. Brand New Portfolio Backtesting Module • Ability to apply different strategies to different symbols within a portfolio. Symbols are visually organized into groups ...

Stanley Miller

... lines or on a trade in the List of Trades and have the chart scrolled to the respective trade and have the entry arrow highlighted. Brand New Portfolio Backtesting Module • Ability to apply different strategies to different symbols within a portfolio. Symbols are visually organized into groups ...

Andrew Kirillov

... product. Going back to our initial promise: “This project is expanding rapidly and its ultimate goal being a full-featured trading platform with portfolio level testing, automated execution of trades, market scanner and most popular brokers/data feeds support. But the best way to be in touch ...

Stanley Miller

... if you choose not to save it before closing. 3. The application crashes when trying to save a 3D Optimization chart into a read-only folder. Portfolio Backtesting and Optimization 1. Data loading cannot be completed and backtesting results cannot be viewed for certain symbols in Portfolio ...

Andrew Kirillov

This message means that Portfolio backtester couldn't get the data from your GlobalServer. Are you sure you have a trade data for that period?
If it is s bug please contact our helpdesk.

LRP

... screenshot indicates an open position that has been initiated in March. What do you expect to see? 2. I’m not sure I understand what is a role of portfolio Backtester in this issue? The screenshot you attached is an individual backtester, not a portfolio backtester. Thank you for the quick response. ...

Andrew Kirillov

It happens, because you use different resolutions in the portfolio.
You mix 1 minute, 5 minutes and daily.
You should use days back in this case. Set at least 50 days back to get results.

Andrew Kirillov

Your question is not clear.
1. Your screenshot indicates an open position that has been initiated in March. What do you expect to see?
2. I’m not sure I understand what is a role of portfolio Backtester in this issue? The screenshot you attached is an individual backtester, not a portfolio backtester.

Andrew Kirillov

There is no need to show the issue on the helpdesk. It is clear.
You try to make things that will not work in MultiCharts.
The program uses an absolute value as a unit, not a point. So BPV must be in dollars or other currency.
Increase portfolio’s initial capital proportionally and it will work.

LRP

Please have a look at the Picture.
I do not understand why the last trade is different.
(Same symbol source, same system and settings)
Thank you for your advise.
LRP

2haerim

See the attached picture.

I haven't used Portfolio BackTester (PBT).

Can anyone explain why I got this error?

[/img]

2haerim

The BPV set by the exchange is 500000 for the symbol I tried to portfolio testing, but the portfolio tester gave all 0's. The only way to make the portfolio tester generate some non-zero figures is to change the BPV to 1 before running the portfolio tester. ...

Andrew Kirillov

Big point value couldn’t be different for charts and portfolio backtesting. It is clear that Big point value is a parameter that is specified by the exchange. So why do you need different bpvs? As a cheat you can set very large capital in portfolio ...

2haerim

... value it will work. It is not a bug. Please tell me where to set the big point value(BPV). If you are talking about setting BPV in QM, I know the portfolio tester would result in meaningful values. But the problem is that I have to change the QM symbol's setting everytime I run portfolio tester ...

Andrew Kirillov

It is not correct to compare chart and portfolio, because portfolio backtesting has capital constrains. If you set correct big point value it will work. It is not a bug.

geizer

... then bulk rename them using string operations, and re-import symbols back. I think in the latest beta 4 it is now possible to export stocks from Portfolio Back-tester. BUT again only the symbol names exported. Consider this: even Canadian symbols exported from Portfolio Back-tester, then renamed ...

2haerim

I got the attached error when closing MC Portfolio tester.

2haerim

... the current settings of QM edit symbol(Min Move 5, Big Point value 500000), chart plotting is normal. However, running backtesting/optimization by Portfolio tester results in all 0s. Next, when I change the QM's symbol settings (Min Move 1, and Big Point Value to 1) suddenly generates some figures. ...

Stanley Miller

Multicharts 5.0 Beta 3 is now available. Download: http://www.tssupport.com/support/downloads/ FEATURES Brand New Portfolio Backtesting Module · Ability to apply different strategies to different symbols within a portfolio. Symbols are visually organized into groups depending on ...

Tresor

... , etc) Regards I have not been optimizing and backtesting for 2 months and I did not notice the margin calculation had already been built into Portfolio Backtester. TSS, thank you for resolving this issue. If only the ''sufficient cash'' logic for reversing a position could be implemented, ...

Tresor

... software is easy. It is strange (because GPUs are normally appreciated for their performance in graphics), but brute force searching engines (like Portfolio Backtester) can greatly benefit from Cuda / Stream. A speeding up of x 100 over the present Portfolio Backtester performance should not be ...

Marina Pashkova

... offering a third version which is the standard version but unlimited symbols backtesting. You can use AB for your stock trading and unlimited portfolio backtesting. Fanus, you are comparing uncomparable things. AB does not have a true dynamic portfolio like MultiCharts does. AB tests each ...

konstantin

[
You can use AB for your stock trading and unlimited portfolio backtesting.

Thanks for your suggestion, but the programming language is quite different from Easy Language. I can only use something very similar.

fs

... offering a third version which is the standard version but unlimited symbols backtesting. You can use AB for your stock trading and unlimited portfolio backtesting.

Marina Pashkova

... MultiCharts Pro has been created with institutional customers in mind. Apart from the unlimited number of symbols that can be tested in the portfolio backtester, MultiCharts Pro comes with multiple features, including but not limited to, customization according to a customer's wishes. Customers ...

Marina Pashkova

Hi Konstantin,

Testing in Portfolio Backtester is limited to 100 symbols.

To have an unlimited number of symbols in Portfolio Backtester, you would need to purchase MultiCharts Pro. More information on MultiCharts Pro can be found on the MC page on our website.

Regards.

konstantin

Hi!

Is there a limit of 100 symbols for portfolio backtesting?
If yes: Why?

Tresor

... 2 - 16 times. MATLAB can do optimization. Now imagine you have two Quadro graphics cards (like I intend to do) - just turn off your monitors, and Portfolio Backtester can speed up optimization by 20 / 50 / 100 times. My buddy uses CUDA for his computations. One Quadro card performs at the speed ...

Marina Pashkova

Hi Duval, The task that you have in mind has been implemented in portfolio backtesting. The only thing is that there are not charts in portfolio backtesting for signals to be plotted on, the reason being that most people who use portfolios work with numerous ...

Marina Pashkova

Hi ts2mc, In MultiCharts beta 3, you will be able to apply different strategies to different symbols within a portfolio. I am attaching a screenshot to show you what it will look like. In the meantime, what you can do is specify the symbol to which you want a specific signal to ...

Marina Pashkova

... directories in your registry. ---------------------------------------------- HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Portfolio A key called Path will need to be changed. HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Storage CachePath and Path will need ...

ts2mc

Hello,
found nothing in the help about.

i need to apply signal 1 to symbol 1 only and signal 2 to symbol 2 only
in the portfolio backtesting. is this possible at all ?

thank you

drwar

Is the symbol information, Exchange settings and templates all in the Portfolio file or is some or all of that contained in the database file itself. If you could outline in detail where that info is stored it would be of help.

Thanks
J~

glam_100

Thank you for the explanation. I don't have Rina Portfolio Stream 6 so could you make screenshots with explanations and extracts from their help system?
Thank you

Andrew what is your email address?

Andrew Kirillov

Thank you for the explanation. I don't have Rina Portfolio Stream 6 so could you make screenshots with explanations and extracts from their help system?
Thank you

glam_100

... still not sure it is useful. Thank you. It is very important. It gives you a better idea of more realistic drawdown. Please take a look at Rina Portfolio Stream 6 and look at their monte carlo implementation. I think they have the best monte carlo implementation around. They allow you to select ...

glam_100

Is the new portfolio backtester going to have monte carlo analysis feature?

It's a feature relatively easy to implement but is very important.

RobotMan

... suggestions that deal directly with TSS software program development. This "window arrangement" thing is only one of them. It seems that "bugs" in portfolio testing and data handling take precedence over "minor inconveniences" like TLs that lose their anchor points (or never had any viable ones ...

Marina Pashkova

Hi glam_100,

The next version of Portfolio Backtester will be available in MultiCharts 5 Gold due in February. The features that I listed in my previous post, will be included into that version of the backtester.

Regards.

brendanh

... 3 years ago. Which of those promises have been broken? The upcoming MultiCharts Gold will have (actually, the current version already has) portfolio level testing, automated execution of trades, market scanner and most popular brokers/data feeds support . We have done what we promised. ...

Marina Pashkova

... it right now in the menu Help > Registration. This project is expanding rapidly and its ultimate goal being a full-featured trading platform with portfolio level testing, automated execution of trades, market scanner and most popular brokers/data feeds support. You'll get your copy of the full-featured ...

glam_100

When would the new portfolio backtester come out?

aljafp

... exactly those features. They are: 1. A choice of several brokers Which brokers ? 2. A choice of serveral datafeeds Which datafeeds ? 3. Improved Portfolio. What are the list of improved features ? 4. Improvide Scanner. What are the list of improved features ? Other features will be implemented ...

Tresor

... be releasing the Gold version with exactly those features. They are: 1. A choice of several brokers 2. A choice of serveral datafeeds 3. Improved Portfolio. 4. Improvide Scanner. Other features will be implemented in their due time. Marina, any idea at this time which brokers and which data feeds ...

Marina Pashkova

... be releasing the Gold version with exactly those features. They are: 1. A choice of several brokers 2. A choice of serveral datafeeds 3. Improved Portfolio. 4. Improvide Scanner. Other features will be implemented in their due time.

2haerim

Portfolio backtesting on a single symbol for multiple resolutions.

(ex) I would like to portfolio-backtest for a 1 min chart and 10 min chart for the same single symbol.

Marina Pashkova

Hi Robert, You have pointed out a very important issue. It will be solved in the future portfolio versions. Right now we are working on major changes in Portfolio Backtester. It will become easier to use, will allow mixing different resolutions as well as applying different ...

Rick Webber

... Another powerful use for ADE is to look at data for other symbols. You can use ADE to store data (OHLC, volume, indicators, etc) for an entire portfolio of symbols, and then you can access the data for any symbol from any other symbol. This makes it possible to perform analyses that depend ...

RobotMan

... don't see any reason I would use this for scalping as I do with my $50/month NT (under a grand for a lifetime license). MC has been developed for "portfolio backtesters" not for intraday scalpers. Hell, there's not any real-time simulation mode, simultaneous tick replay or chart trading capability ...

danilo

Hi Marina, I have built a correlated equity curve portfolio simulator, to simulate the equity curve I have used 2 correlated random numbers draw from a standard normal distribution, and then used few portfolio statistics (%WinngTrade, AverageTrade, ...

Stanley Miller

... as one of the merged sources. PowerLanguage 1. The behavior of the BarStatus(N) function, where N>=2, is different from its behavior in TS. Portfolio 1. When working on Vista, clicking on the main frame of the Portfolio Backtester window results in an assert message. 2. Division by zero ...

Marina Pashkova

... should be done to those symbols? How do you see such a mechanism working? Actually, if you think about it, this mechanism comes very close to portfolio trading (e.g. capital allocation considerations come into play etc). Portfolio trading is something that we have already started to work on. ...

gautama2

Hi,
could you pls. consider to allow working with multiple currencies in the portfolio test?
If i got european and US titles in a portfolio, i cannot mix USD and EUR prices into the result.

Regards Robert

Marina Pashkova

... you have in your charts?) What settings did you use for your strategy? (how many orders were there?) What page did the report open on? 5.0 beta 1 portfolio has many new features (for example, new money management, extended report, correlation). We need a testing case. We would need your portfolio ...

Stanley Miller

... Equity Curve lines or on a trade in the List of Trades and have the chart scrolled to the respective trade and have the entry arrow highlighted. Portfolio Backtesting and Optimization • Portfolio Money Management Settings In Portfolio Settings, new fields have been added to bring portfolio behavior ...

randomname

Two revisions ago the backtester was so much faster I could test 100 at a time. There were some problems with some of the drawdown numbers, but now it is so slow to test 25 symbols. What has happened? Is there any possiblity of adding intra bar testing?

SUPER

... strategies that meet a number of conditions instead of maximizing a single performance measure. This feature is supported both in regular and portfolio back-testing. It can be deployed by both genetic and exhaustive search optimization. Data Feeds and Data Management · Big Point Value = 100,000,000 ...

Stanley Miller

... strategies that meet a number of conditions instead of maximizing a single performance measure. This feature is supported both in regular and portfolio back-testing. It can be deployed by both genetic and exhaustive search optimization. Data Feeds and Data Management • Big Point Value = 100,000,000. ...

Marina Pashkova

Hi guys,

In 5.0 beta 1 which will be released a couple of weeks after the 4.0 official release will factor in margins in calculations.

Apart from that, the 5.0 beta 1 will have symbol by symbol breakdown in Portfolio Backtesting.

Regards.

Tresor

I read somewhere on the forum that the portfolio backtester is designed for equity back testing and doesn't satsifactorily on futures. Is that still the case now with Beta 4? Hi glam_100, A few issues were improved in the new beta and a few ...

glam_100

I read somewhere on the forum that the portfolio backtester is designed for equity back testing and doesn't satsifactorily on futures.

Is that still the case now with Beta 4?

Marina Pashkova

... TSS, Would a short educational description be possible (maybe in help section ''F1'') on: 1. How to use sample fitness functions built-in the Portfolio Backtester (there are 4 sample fitness functions. I ticked ''Custom Criteria'' and the optimization report returned results sorted according ...

Marina Pashkova

I mean that in Portfolio Backtester one can determine periods for whch one wants to optimize / backtest a strategy , e.g. optimize from 1st January 2007 till now or optimize for last N bars, while you cannot do so when optimizing ...

Tresor

... the period analysis, I am not quite sure I understand what exactly you mean. Maybe you are talking about the backtesting report? . I mean that in Portfolio Backtester one can determine periods for whch one wants to optimize / backtest a strategy , e.g. optimize from 1st January 2007 till now or ...

Marina Pashkova

Hello Tresor, I noticed that optimization reports differ when one runs optimization through Portfolio Backtester and through MC. The optimization report generated through MC has more features like profit factor, win / loss ratio, return on account, etc. Portfolio Optimization ...

Tresor

Hello Marina, I noticed that optimization reports differ when one runs optimization through Portfolio Backtester and through MC. The optimization report generated through MC has more features like profit factor, win / loss ratio, return on account, etc. On the other hand, ...

Tresor

Hello TSS, Would a short educational description be possible (maybe in help section ''F1'') on: 1. How to use sample fitness functions built-in the Portfolio Backtester (there are 4 sample fitness functions. I ticked ''Custom Criteria'' and the optimization report returned results sorted according ...

Tresor

Hello,

I couldn't wait any longer to try the newly debugged Portfolio Backtester so I switched to the newest beta and have two issues to report on the newest beta version. I show the issues in the screenshot.

Regards

danilo

Hi danilo, We are planning to add portfolio analysis breakdown by symbols to our Portfolio Report. We will also consider adding a page where all the equity curves will be compared. As for the correlation matrix, we had this idea a while ago, ...

Marina Pashkova

Hi danilo, We are planning to add portfolio analysis breakdown by symbols to our Portfolio Report. We will also consider adding a page where all the equity curves will be compared. As for the correlation matrix, we had this idea a while ago, ...

danilo

At the moment it's impossible to know which are the best and worst perfomance asset in the portfolio and how the P/L are correlated. It's possible to add the correlation matrix calculated on equity line of portfolio assets ? It's possible to add a page that details the ...

RobotMan

... a pretty spiffy Auto Trendline tool in NT Trader to scalp with and I didn't think it fair that MC should have all the bells and whistles for the portfolio back testers and system optimizers and be so light on tools for the scalpers. :lol: Just sayin'... Bob Perry Los Altos, CA

Stanley Miller

... 3. Sortino Ratio is not calculated correctly 4. Calmar Ratio is not calculated correctly 5. Upside Potential Ratio is not calculated correctly Portfolio 1. MaxDrawDown in the Performance Report is very different from that in Optimization Auto Trading 1. Disconnect timeout does not work properly ...

traderstuff

... running collecting real time data, except for the weekends. I'll give 2 scenarios that your engineers should be able to easily reproduce, using a portfolio of 15 or more actively traded futures contracts on a 24 hour basis. 1. Sometime around midnight, IB servers shut down, and 3 or 4 hours later ...

Marina Pashkova

Hi Michael, From what I understand, none of the strategies will work in your portfolio backtester? Is that correct? If that is so, please make sure that the symbols you are inserting into portfolio have data for the requested resolution and over the requested ...

Marina Pashkova

Hi JT,

Help is called from the main MultiCharts window. Press F1 and the document will be called up. There is a separate section dedicated to Portfolio. Let me know if you need further instructions.

Regards.

Tresor

... margin calculation (and as a consequence make it possible to backtest futures) 4.Provide information on how idividual symbols are traded within portfolio Once we have fixed those, we will start considerting the features that you listed above. Thank you. Marina, THANK YOU. THAT'S EXACTLY WHAT ...

Marina Pashkova

... margin calculation (and as a consequence make it possible to backtest futures) 4.Provide information on how idividual symbols are traded within portfolio Once we have fixed those, we will start considerting the features that you listed above. Thank you.

Tresor

... (from most to least wanted): 1. Additional analytics in Optimization report to include: - Equity linearity - Linearity / Net Profit Ratio - Max Portfolio Close to Close Drawdown - Recovery Time from Max Portfolio Close to Close Drawdown - Sharpe Ratio 2. Chart – Performance Report Sychronizing ...

Tresor

... worst choppines of the equity line); - Linearity / Net profit ratio - so that one could level out between linearity measure and Net profit - Max Portfolio Close to Close Drawdown (forgot to show this one on the screenshot) - Recovery time from Max Portfolio Close to Close Drawdown - Sharpe ratio ...

Andrew Kirillov

... IS calculated incorrectly in Optimization. We have already fixed this issue for the regular optimization and are working on the fix in the portfolio module. The fix will be available in the upcoming beta 2 version of MC. Marina thank you, a member of this forum has PMed and raised the issue ...

Tresor

... IS calculated incorrectly in Optimization. We have already fixed this issue for the regular optimization and are working on the fix in the portfolio module. The fix will be available in the upcoming beta 2 version of MC. Marina thank you, a member of this forum has PMed and raised the issue ...

Marina Pashkova

... IS calculated incorrectly in Optimization. We have already fixed this issue for the regular optimization and are working on the fix in the portfolio module. The fix will be available in the upcoming beta 2 version of MC.

Tresor

... the moment MC does not support margin calculation. There is one blank box which says ''Margin'' but it is actually not taken into calculation by Portfolio Backtester. I think It is high time to make backtesting / optimization suitable for futures. Generally, there are two types of Margins. A ...

JT

Maybe I overlooked, but I still can't find docs for portfolio backtester in the 3.1 release?? Do you have a (beta) copy?

Tresor

Hi Tresor, The differences may be accounted for by the different MaxBarsBack value set for the strategy in the portfolio as compared to the MaxBarsBack value set for the strategy in the chart. Also, maybe the capital that you specified in portfolio is not sufficient to take all ...

Marina Pashkova

Hi Tresor, The differences may be accounted for by the different MaxBarsBack value set for the strategy in the portfolio as compared to the MaxBarsBack value set for the strategy in the chart. Also, maybe the capital that you specified in portfolio is not sufficient to take all ...

Tresor

... Let's have a rest from this and let's give the issue a fresh and unemotional start :) Marina has just started the thread on the bugs in the Portfolio Backtester. Fs, please copy your e-mails here in public: http://forum.tssupport.com/viewtopic.php?t=5493 Thanks

khalaad

Tresor, The claims: High-defination charting Dynamic portfolio-level back-testing True strategy back-testing and optimization EasyLanguage compatibility Extensive choice of data feeds State-of-the-art integrated auto-trading TS Support make for MultiCharts ...

Tresor

Marina, Portfolio Backtester seems to be an important issue to many of us. The issue of fixing it appears on many threads in many posts in different forums. People ask the same questions time and again, they complaint time and ...

khalaad

... Buy you are not promoting MultiCharts on the basis of: this, this and this You are promoting MultiCharts for its: High-defination charting Dynamic portfolio-level back-testing True strategy back-testing and optimization EasyLanguage compatibility Extensive choice of data feeds State-of-the-art ...

Tresor

... the future versions. The margin dialogue box has been made to be used in future implementations of MultiCharts. We did admit a while ago that the portfolio backtester was made to work with stocks. At the moment, the way it handles futures is unsatisfactory and we keep working on that. We can't ...

Marina Pashkova

The Max Intraday Drawdown in Optimization Report of Portfolio Backtester is incorrect. ppan, The above information is not enough. We need further details to understand what problem you are talking about. To begin with we'll need 1. The description ...

Marina Pashkova

... the future versions. The margin dialogue box has been made to be used in future implementations of MultiCharts. We did admit a while ago that the portfolio backtester was made to work with stocks. At the moment, the way it handles futures is unsatisfactory and we keep working on that. We can't ...

ppan

The Max Intraday Drawdown in Optimization Report of Portfolio Backtester is incorrect.

Tresor

... get best profit over a period of time. Then you can sort the results by % profitable, max intraday drawdown, etc. Would it be possible to adjust Portfolio Backtester to optimize to get ''BEST SHARPE'S RATIO'' or "SMOOTHEST EQUITY LINE'' or something similar? Regards

Nick

... and to be able to recover gracefully from errors (wherever they occur) i.e. to work out what the current market position should be and adjust the portfolio accordingly. I would personally either pay a broker to manage a system or use technology that has a demonstrable (and guaranteed) high availability. ...

Marina Pashkova

... the problem first). What are the symbols and resolutions? We would need that info to study the problem on our end. 2) Using the Optimizer in the Portfolio Backtester or Multicharts itself with the PowerLanguage Editor on in background causes the PLE to freeze and crash. What are you doing in ...

TJ

... :oops: ) : Practice, Practice and more Practice. Wouldn't it be wonderfull to use a simulated datafeed and a buy/ sell button for a virtual portfolio inside MC. woohaaa we could all be Ninjas :D I saw a feature in one software, which I think is very useful, and probably not difficult for ...

elaskaris

... strategies do process the duplicate bars and generate faulty signals (if I don't detect/correct the problem first). 2) Using the Optimizer in the Portfolio Backtester or Multicharts itself with the PowerLanguage Editor on in background causes the PLE to freeze and crash. As a user of the beta, ...

Marina Pashkova

... Windows Registry Editor Version 5.00 [HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Portfolio] "Path"="Drive:\\Path to your databases\\Databases\\FBPORTFOLIO.GDB" [HKEY_LOCAL_MACHINE\SOFTWARE\TS Support\MultiCharts\Databases\Storage] ...

Januson

... :oops: ) : Practice, Practice and more Practice. Wouldn't it be wonderfull to use a simulated datafeed and a buy/ sell button for a virtual portfolio inside MC. woohaaa we could all be Ninjas :D

Tresor

... and I noticed that sometimes when I put strategy signals on a chart and then backtest the same strategy with the same signals' inputs in Portfolio Backtester then first signals on the chart are not the same as first signals in a list of trades from a performance report. Some trades are ...

Marina Pashkova

Hi MC_Prog,

When we designed the portfolio backtesting module, we assumed that you would just create a portfolio of symbols once and then just save it as a portfolio workspace and then keep using it over and over.

Regards.

Stanley Miller

... strategies that meet a number of conditions instead of maximizing a single performance measure. This feature is supported both in regular and portfolio back-testing. It can be deployed by both genetic and exhaustive search optimization. Data Feeds and Data Management • Zen Fire added. This ...

MC_Prog

In the MC Portfolio Backtester, after running an optimization, if one double-clicks on a row in the Optimization Report, a dialog comes up asking; "Do you want apply this input combination to the strategy?" etc. with a list of ...

MC_Prog

You don't need to type in each symbol into portfolio separately. If the symbols are already there in QuoteManager, you can bulk-add them into portfolio symply by selecting the relevant data feed and highlighting the symbols that you want. This ...

Marina Pashkova

Hi Tresor,

Strategies that use drawings can't be optimized on a portfolio.

Regards.

Marina Pashkova

... want to test on the SP500, or the R2000 (for example). I am afraid there has been a misunderstanding. You don't need to type in each symbol into portfolio separately. If the symbols are already there in QuoteManager, you can bulk-add them into portfolio symply by selecting the relevant data feed ...

MC_Prog

I would like to announce that I've started a library for MC Portfolio setups. As users may know, MC Portfolios currently require every symbol to be typed in one-by-one. This is pretty bad if you want to test on the SP500, or the R2000 (for example). However, ...

Tresor

Hello,

I attach Zigzag Trend Strat. My Portfolio Backtester says it cannot be optimized. Can anyone help to solve this problem?

Regards

Marina Pashkova

Hi Arbitrageur,

Could you please send us the portfolio workspace along with the signal?

Thank you.

Arbitrageur

I'm trying to test a portfolio of currency markets using an EL signal strategy.

The signal works fine on a standalone chart, but when I try to run it in the portfolio backtester, I'm getting an "invalid pointer" error message.

am I doing something wrong?

zukkaweb

Please make a section where download all webinar that are transmitted.

Another series of video guide to show how to use in right way the

backtesting,
optimization
portfolio.

thanks

fs

... to traders. This is why they don't think things like fractional scales, plotting empty periods, trading outside RTH, providing period analysis in portfolio back testing, etc is a big deal. I firmly believe the reason they are so reluctant to provide a public issue list as we kept asking and they ...

LRP

... thanks. Cordially LRP I vote for this too. I actually requested that via e-mail as well before. In addition no period analysis is available in the Portfolio Backtester. Also the strategy name and symbol is not displayed when you make printouts of the backtest reports, so unless you write this yourself ...

Marina Pashkova

I vote for this too. I actually requested that via e-mail as well before. In addition no period analysis is available in the Portfolio Backtester. Also the strategy name and symbol is not displayed when you make printouts of the backtest reports, so unless you write this yourself on ...

fs

I vote for this too. I actually requested that via e-mail as well before. In addition no period analysis is available in the Portfolio Backtester. Also the strategy name and symbol is not displayed when you make printouts of the backtest reports, so unless you write this yourself on ...

elaskaris

I'm really liking the portfolio backtester, but I discovered a bug the developers should know about. The backtester allows you to set a "Max Percent of Capital at Risk per Position" which is essentially not functioning, because regardless ...

2haerim

1) Open Insert Symbol Into Portfolio dialog
2) Enter non-English characters into Root

=> It will immediately crash!!!

MC/QM/PL should support international characters properly.

MC Format Symbol dialog does not display international charaters for Description field.

Marina Pashkova

... approval. The time sensitivity and dynamic nature of the exits is more critical than the entries. In this way I could dynamaically calculate total portfolio equity and assign fixed percent investment for each trade. I could also act as a "Gatekeeper" to prevent the strategy from attempting to buy ...

Tresor

... with 2 x Intel Xeon E5430, 2.55 GHz, 8GB RAM, Windows 2003 Server, time: 2:11:26 I attach the print screen of the last test. It is confirmed Portfolio Backtester can run on Windows Server, all 8 cores are 97% used :D This test shows that the performance of Portfolio Backtester on 8 cores ...

elaskaris

... approval. The time sensitivity and dynamic nature of the exits is more critical than the entries. In this way I could dynamaically calculate total portfolio equity and assign fixed percent investment for each trade. I could also act as a "Gatekeeper" to prevent the strategy from attempting to buy ...

Marina Pashkova

Hi Evan, You're the first of our customers to raise this very insteresting issue, which shows that you fully understand the essence of portfolio backtesting and trading and the tasks they solve. At this point, the dynamic portfolio approach cannot be used to actually trade your strategies. ...

elaskaris

Hey, I am developing a long-term trading strategy to be autotraded on a basket of stocks. The Portfolio Backtester has money management and risk management features that I am wondering how to implement when autotrading through IB. For instance, the Portfolio Backtester ...

Stanley Miller

MultiCharts 3.1 Beta FEATURES FEATURES Strategy Back-Testing and Automation • Intra-bar order generation • Dynamic portfolio strategy back-testing and optimization • All-new auto-trading engine. You can now be sure that your trade will be executed at a specified price because the ...

Marina Pashkova

... language I tinker in is now Powerlanguage. I think NT is more for scalpers and day traders than MC is right now. I think MC is catering more to portfolio builders and backtesters/optimizers (none of which I do) which is what they should do if that is their market base. Charting software is so ...

TJ

I think NT is more for scalpers and day traders than MC is right now. I think MC is catering more to portfolio builders and backtesters/optimizers (none of which I do) which is what they should do if that is their market base. Charting software is so competitive right now. ...

RobotMan

... language I tinker in is now Powerlanguage. I think NT is more for scalpers and day traders than MC is right now. I think MC is catering more to portfolio builders and backtesters/optimizers (none of which I do) which is what they should do if that is their market base. Charting software is so ...

Marina Pashkova

Let me know if you need any further info on portfolio backtesting/optimization.

Tresor

... settings of Keltner Channel signal are exactly the same as in my MC charts. The catch is that MC says there were several buy an sell signals, but Portfolio Backtester says that no transaction was made. What did I do wrong? Can someone please help me before I kill my processor? Regards

Marina Pashkova

... though. If you move the studies go to HKEY_LOCAL_MACHINE -> SOFTWARE -> TS SUPPORT - > DATABASES and change the paths in two folders there: Portfolio and Storage.

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