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
GOOG 19,196.76 134 143.26
CSCO −7,342.78 120 −61.19
TOTALS 29,494.02 406 66.04 (should be 72.65)
All the above calculations as reported at the portfolio level and in the Breakdown by Symbol are clearly correct.
The error in this case is that the Portfolio Level AverageNetProfit/Trade should be 29,494.02/406 = 72.65 but instead is being incorrectly calculated as the average of the individual Symbol Level AverageNetProfit/Trade i.e. (116.05+143.26-61.19)/3 = 66.04 which is incorrect methodology.
Please will you comment on this because it appears that a thorough audit of the calculations being produced by the Performance Reports is needed to start using this.