Incorporating bid-ask spread into portfolio backtest

Questions about MultiCharts and user contributed studies.
Adam333
Posts: 20
Joined: 05 Oct 2010

Incorporating bid-ask spread into portfolio backtest

Postby Adam333 » 21 Oct 2010

Is it possible to incorporate the bid-ask spread into a portfolio backtest using PortfolioBacktester? It appears as though the user can only select BID, ASK, or TRADE when configuring a portfolio backtest. I know it is possible on with one symbol using Multicharts, just not sure how to do it on a portfolio. In Multicharts is it called Extended Backtesting Mode.

Thanks
Adam

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Anastassia
Posts: 179
Joined: 18 Jan 2010
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Re: Incorporating bid-ask spread into portfolio backtest

Postby Anastassia » 02 Nov 2010

Hi Adam,

There is no "Extended Backtesting Mode" option available in Portfolio.

Thank you

Adam333
Posts: 20
Joined: 05 Oct 2010

Re: Incorporating bid-ask spread into portfolio backtest

Postby Adam333 » 02 Nov 2010

Ok thanks for the reply. This functionality would be a great enhancement to the Multicharts platform. Please consider it for future versions.

Thanks
Adam

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Anastassia
Posts: 179
Joined: 18 Jan 2010
Been thanked: 4 times

Re: Incorporating bid-ask spread into portfolio backtest

Postby Anastassia » 02 Nov 2010

You are welcome, Adam.
We will consider adding Extended Backtesting Mode option to Portfolio for the future versions of MultiCharts.


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