Difference in backtesting between Chart and Portfolio mode

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meo
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Difference in backtesting between Chart and Portfolio mode

Postby meo » 21 Sep 2015

Hi,

Understand that IOG is not available in Portfolio Trader. However even without IOG in my chart strategy testing, I am getting different backtesting results from chart and portfolio trader.

Realized that its because in chart mode, the backtester goes through the OHLC for each bar, whereas for portfolio testing, it only run through the Close price for each bar. Am I able to set it to check through OHLC in portfolio backtesting?

Any alternative if that cannot be done? I can only think of using a lower timeframe for the base data and having the signal check through the actual timeframe data which is data2 etc

Hope IOG will be available in portfolio trader in future release! Thanks a lot!

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Henry MultiСharts
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Re: Difference in backtesting between Chart and Portfolio mo

Postby Henry MultiСharts » 22 Sep 2015

Hello meo,

Your script should generate the same results in MultiCharts and Porfolio Backtester if the settings are the same.
You need to have 1 instrument in your portfolio for the results to match with the chart. 1 trading instrument (data 1). 
You need to have IOG and bar magnifier disabled for your strategy in MultiCharts. 
Extended backtesting is also not available in Portfolio backtester, therefore you need to disable it in MultiCharts.
All instrument settings (resolution, quote field, data range ) should be the same in both applications. On the chart the Data Range should be specified as From_To and not Days/Bars Back. 
MultiCharts has no money management, therefore you need to configure the portfolio to have no money management limits for orders.      
In the Money Management Settings section Max % of Capital at Risk per Position should be 100%.  
In the Money Management Settings section Initial Portfolio Capital should be set to maximum  $1 000 000 000.

meo
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Re: Difference in backtesting between Chart and Portfolio mo

Postby meo » 22 Sep 2015

Hi Henry,

Thanks a lot for the reply. I must have been dreaming when I posted the question. Of course no running through OHLC when IOG is disabled...

Is Bar Magnifier or IOG in the road map for future development for portfolio backtesting? Quite critical for some of us. We need more granuality in backtesting. Otherwise we have to rewrite separate versions of the code for portfolio and for chart trading.


Regards,
Meo

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Henry MultiСharts
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Re: Difference in backtesting between Chart and Portfolio mo

Postby Henry MultiСharts » 22 Sep 2015

We understand the importance and demand of this functionality and we are considering adding it in the future. We cannot provide any ETA for it, as this is not a trivial functionality. It requires development of the new complex algorithms for synchronous multi data stream processing in backtesting and realtime on a portfolio level.


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