Portfolio Backtest Questions

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greenroomhoo
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Portfolio Backtest Questions

Postby greenroomhoo » 27 Sep 2012

To test my edge I ran my strategy on the basket of todays S&P 500 stocks going back to 1993. i have several questions:

1. My strat is set to only enter when Marketposition = 0. This results in the backtest trading one equity at a time. to have it backtest all instances, do i just remove that qualifier from my code or is there some other type of setting to handle that?

2. See screen shot of equity curve - it references 1/3 as many trades as the trade analysis? I dont understand the difference. Am i missing something?

3. See Performance summary. How should i interpret these results. The strat only trades 10k/trade one after the other (ie one 10k trade at a time) with no leverage.....so why is the Account Size required - 1,472,044?

How do these results look? this a trend following strategy so i know there is bias in that the market generally went up during the period tested. other than that there is no optimization, testing for trend, or anything like that. just an entry and target and trailing stop. The biggest draws are during the dot com meltdown and the 2008 market plunges. Id like to think a trader would use discretion and not be going long on a trend following strategy during those times....


thanks -
Attachments
9-27-2012 5-47-25 AM.png
Performance summary...
9-27-2012 5-47-25 AM.png (28.25 KiB) Viewed 160 times
9-27-2012 5-48-00 AM.png
Trade summary shows 7900 trades
9-27-2012 5-48-00 AM.png (19.79 KiB) Viewed 155 times
9-27-2012 5-47-10 AM.png
Equity curve shows 2600 trades
9-27-2012 5-47-10 AM.png (32.58 KiB) Viewed 146 times

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Henry MultiСharts
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Re: Portfolio Backtest Questions

Postby Henry MultiСharts » 27 Sep 2012

greenroomhoo, please export your report into Excel and attach to this topic for further analysis.


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