Portfolio Backtesting Issue  [SOLVED]

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master.aurora
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Portfolio Backtesting Issue

Postby master.aurora » 13 Feb 2013

Hello,

I have an issue with the MC .NET porfolio backtester. I am trying to open multiple positions but they do not go through. I have the following scenario:

I am running a test strategy on a single instrument in which i send 5 orders spaced by 10 days each with Profit & Loss targets. If in the course of the backtesting, i go into a position, any other orders do not go through/executed. When the MarketPosition becomes 0, then new orders get executed from then onwards and all the orders that should have been sent between the time the 1st order was sent and the time it was executed are sort of discarded.

In a second scenario:

I ran the same strategy on multiple instruments, and this time the same thing happened but ONLY for the instrument that was added at 1st place in the portfolio. Order for other instruments did not go through. With this being said, i did try to debug the code and i saw that the bars were coming in as they should (bars for all instruments for a given time came and then for the next time). The code statements that send in the orders were being called as many times as the number of instruments, but the end result wasnt as expected.

Can you guys please let me know if there is a setting that i am missing? If not what workaround is there for this problem?

Thanks,
Umer

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Henry MultiСharts
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Re: Portfolio Backtesting Issue  [SOLVED]

Postby Henry MultiСharts » 13 Feb 2013

Hello Umer,

Right click on Strategy in Portfolio tree->Show properties->Properties.
"Allow up to N entry orders in the same direction" option should be enabled.


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