Portfolio testing instruments on different exchanges

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rkhan
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Portfolio testing instruments on different exchanges

Postby rkhan » 21 May 2014

Hi Guys,

I have a few systems, one for Bonds, one for Gold, and one for ES.
Now i would like to portfolio test them all together, and they all work on exchange time.

So the problem i am having is that the Portfolio testes does not allow for mixing of different time zones.

So how can i see what the overall portfolio performance of these three systems put together would be?

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Henry MultiСharts
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Re: Portfolio testing instruments on different exchanges

Postby Henry MultiСharts » 29 May 2014

Hello rkhan,

Please select the Local timezone to backtest such portfolio.

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Re: Portfolio testing instruments on different exchanges

Postby rkhan » 29 May 2014

Dear Sir,

Yes i can select local timezone, but then it does not give the results i need, because my strategies are based on entering at particular times of the day, so if i select local time, then all my entries etc are entering at incorrect times.

As an example i might enter are 11:30am, or i might enter at the open, now if i select local time zone, then these strategies get messed up and have incorrect entry times.

Is there anything i could put into the code, or could i code it a particular way so that then I can select local zone and it won't make a difference?

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Re: Portfolio testing instruments on different exchanges

Postby sptrader » 29 May 2014

You can create your own custom session times in the "Quote Manager", go to "tools" ,
"session templates" and design whatever sessions you need, in the time zone you desire....

rkhan
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Re: Portfolio testing instruments on different exchanges

Postby rkhan » 30 May 2014

Dear Sir,

Just to be clear on what you are suggesting.

Are you suggesting, i first create custom session times in quote manager, and have these match the exchange times, but call them local times?

And then in portfolio manager choose local time?

How will that resolve the time difference problems, where the exchanges may open at different times, or might even be in different time zones?

I'm not sure i completely understand what you are suggesting.

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Re: Portfolio testing instruments on different exchanges

Postby sptrader » 30 May 2014

Dear Sir,

Just to be clear on what you are suggesting.

Are you suggesting, i first create custom session times in quote manager, and have these match the exchange times, but call them local times?

And then in portfolio manager choose local time?

How will that resolve the time difference problems, where the exchanges may open at different times, or might even be in different time zones?

I'm not sure i completely understand what you are suggesting.
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* I guess I'm not clear on what you need... I run multiple data streams with different sessions in each stream.. I thought that might help..

rkhan
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Re: Portfolio testing instruments on different exchanges

Postby rkhan » 30 May 2014

Dear Sir,

I have a system which runs on gold, another which runs on emini, and another which runs on eurusd.

Now i would like to put them all into the Portfolio manager, and have it show me the stats on all these sytems combines.

Now the issue i have having is that, when i choose exchange time on each, then the portfolio manager gives me an error saying i cannot run different exchange times

The other option is to use local time on each, but this is no good, because then my systems which rely on certain times of the day, they don't perform that well at all.

So that is the challenge i am having.

I want to be able to test different systems which work on instruments having different session times, i want to be able to portfolio test them all

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Henry MultiСharts
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Re: Portfolio testing instruments on different exchanges

Postby Henry MultiСharts » 02 Jun 2014

rkhan, in this case you will need to create a code that will adjust the order time according to the instrument's timestamps in local time zone. For example you can get the instrument's exchange using ExchListed, then calculate the required time shift.


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