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
multiple currency calculation in portfolio backtest
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
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 strategies to different symbols.
Regards.
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 strategies to different symbols.
Regards.
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
- Andrew Kirillov
- Posts: 1589
- Joined: 28 Jul 2005
- Has thanked: 2 times
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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 shuffling the daily, weekly, monthly equity curve, as well as individual trades. The shuffle individual trade option is very useful in higher frequency trades that trades more than 1 time per day. Also they let you choose the SIZE of the SAMPLE (not to be confused with the no. of trails). This is absolutely crucial and most other package don't have this option. If you don't have this option monte carlo runs are really meaningless because the numbers you get will only get bigger as you add more trades to the sample.Glam_100,
It is planned to Q1-Q2 of 2009. Can you explain how Monte Carlo analysis helps to improve trading results? I read about this technique, but I'm still not sure it is useful.
Thank you.
Anyways it's a very simple but brilliant monte carlo implementation. Please take a look at it if you could.
- Andrew Kirillov
- Posts: 1589
- Joined: 28 Jul 2005
- Has thanked: 2 times
- Been thanked: 31 times
- Contact:
- Andrew Kirillov
- Posts: 1589
- Joined: 28 Jul 2005
- Has thanked: 2 times
- Been thanked: 31 times
- Contact: