multiple instruments in Portfolio Backtesting  [SOLVED]

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edwardho
Posts: 6
Joined: 07 Jan 2014

multiple instruments in Portfolio Backtesting

Postby edwardho » 27 Mar 2014

Hi there,

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

For example, if I place stock A, B, and C, then trade by strategy Alpha, how do I know if A has the best performance by using the strategy Alpha, and B has the worst? As such, I can take out B in the future while using strategy Alpha.

Thank you so much.

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Andrew MultiCharts
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Re: multiple instruments in Portfolio Backtesting  [SOLVED]

Postby Andrew MultiCharts » 28 Mar 2014

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

edwardho
Posts: 6
Joined: 07 Jan 2014

Re: multiple instruments in Portfolio Backtesting

Postby edwardho » 28 Mar 2014

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

Thank you so much for the reply.


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