Portfolio Backtester - would a tutorial be possible?

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Tresor
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Portfolio Backtester - would a tutorial be possible?

Postby Tresor » 24 Apr 2008

Hi MC staff,

I am a new user of MC. I have never used a software that has a function of testing different strategies. Would it be possible to make a video tutorial on how to use the Portfolio Backtester?

Regards

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Marina Pashkova
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Postby Marina Pashkova » 25 Apr 2008

Dear Tresor,

Thank you for your suggestion. We are now working on a series of on-line tutorials and will create one for portfolio backtesting as well. In the meantime, I would suggest referring to MultiCharts Help.

Tresor
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Postby Tresor » 25 Apr 2008

Marina,

Many thanks

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Marina Pashkova
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Postby Marina Pashkova » 28 Apr 2008

NP. Let me know if you need our assistance again.

Tresor
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Postby Tresor » 01 May 2008

Hello Marina,

I have been making some excersises with Portfolio Backtester for a few days and I seem to better understand this tool. GA optimization is excellent. I played around with Start Value and End Value. Worked perfectly and showed me that my intuition based assumptions were totaly wrong when compared to the outcome of the machine computations.

Now I am wondering what a ''Step'' is - what purpose does it serve? I would appreciate an easy-to-understand description.

Optimization looks for best indicator settings for fixed data series properties, e.g. 20 minute compression, 3000 contract compression. Can the optimization be reversed in the following way: the signal / indicator length is fixed and the optimization looks for optimum compression?

Regards

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Marina Pashkova
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Postby Marina Pashkova » 01 May 2008

Hello Marina,

I have been making some excersises with Portfolio Backtester for a few days and I seem to better understand this tool. GA optimization is excellent. I played around with Start Value and End Value. Worked perfectly and showed me that my intuition based assumptions were totaly wrong when compared to the outcome of the machine computations.


Hi Tresor,

I am glad that our backtesting and optimization helped you check your trading assumptions. This is exactly why we pay so much attention to these 2 tools: they help customers discard the strategies or strategy configurations that are not (and cannot be) profitable, thus saving their time and money and allowing them to concentrate on what will yeild profit.

Now I am wondering what a ''Step'' is - what purpose does it serve? I would appreciate an easy-to-understand description.


Say you have a certain strategy parameter that can assume different values. You want to check the strategy's performance with the values from 3 (Start Value) to 49 (End Value). Now, if you set the Step value to 1, the optimization will go from 3 to 4 to 5 - all the way up to 47, 48, 49. If you set the Step value to 0.2, the optimization will go from 3 to 3.2 to 3.4 to 3.6 all the way up to 49.

Optimization looks for best indicator settings for fixed data series properties, e.g. 20 minute compression, 3000 contract compression. Can the optimization be reversed in the following way: the signal / indicator length is fixed and the optimization looks for optimum compression?


It cannot be done in the current MC version. But we are planning to add such optimization feature in future.

Tresor
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Postby Tresor » 01 May 2008

Hi Marina,

Thanks again for your help. Now I undersand what "step" stands for. I am happy that you will add a feature of optimizing not only signal parameters but also data compression. This will be very useful because I use some paid indicators which do not allow for manipulating in their length. So I will be able to manipulate data compression :)

The other issue that I have with Portfolio Backtester is: How can I calculate futures contracts' points of earning / loss and then apply a multiplier value to the earned / lost points?

I elaborated more on this here: www.forum.tssupport.com/viewtopic.php?t=4972

Regards

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Marina Pashkova
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Postby Marina Pashkova » 07 May 2008

Hi Tresor,

I posted the answer in this thread: www.forum.tssupport.com/viewtopic.php?t=4972

Tresor
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Postby Tresor » 07 May 2008

Thanks

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Marina Pashkova
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Postby Marina Pashkova » 14 May 2008

Let me know if you need any further info on portfolio backtesting/optimization.

miller michael
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Back Testing Tutorial or Example Portfollio

Postby miller michael » 02 Sep 2008

It's my understanding that MC will make a tutorial for their backtesting module in the near future. Until such time that it's complete, can anyone be so kind to send an example portfollio.

I may have some self imposed issues ie can't get the thing to execute even one trade based on any signal or it might be a technical problem.

Your kind support would be helpful. (Please don't refer me to the manual - been there, done it)

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Marina Pashkova
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Postby Marina Pashkova » 03 Sep 2008

Hi Michael,

From what I understand, none of the strategies will work in your portfolio backtester? Is that correct?

If that is so, please make sure that the symbols you are inserting into portfolio have data for the requested resolution and over the requested period.

Please, let me know the results.

Regards.


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