What am I doing wrong??? Portfolio Backtester

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Tresor
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What am I doing wrong??? Portfolio Backtester

Postby Tresor » 10 May 2008

Hi,

I applied Keltner Channel LE and SE study to my chart (attachment Backtester1) with settings LE(Close,20,1.5) and SE(Close,20,1.5) and MC nicely displayed buy and sell signals on the 600 sec compression.

First I run backtesting with settings as in attachment Backtester2.

I did not understand the results so I decided to run the optimization for the last 3 month period using Exhaustive Search with properties as in attachment Backtester3. The properties cover previous settings LE(Close,20,1.5) and SE(Close,20,1.5) + aditional area. The number of simulations says 159201 before starting the exhaustive search.

When the exhaustive search started (attachment Backtester4) the number of simulations increased to 176400 - no problem with this.

The problem I have is with the Optimization Report. All settings show that no transaction was made during the 3 month period, there are no winning and losing trades, no profit, no losses :roll:

Please look at the attachment Backtester5. The highlighted settings of Keltner Channel signal are exactly the same as in my MC charts. The catch is that MC says there were several buy an sell signals, but Portfolio Backtester says that no transaction was made.

What did I do wrong? Can someone please help me before I kill my processor?

Regards
Attachments
Backtester1.jpg
Backtester1.jpg (208.33 KiB) Viewed 294 times
Backtester2.jpg
Backtester2.jpg (122.7 KiB) Viewed 295 times
Backtester3.jpg
Backtester3.jpg (109.07 KiB) Viewed 295 times
Backtester4.jpg
Backtester4.jpg (107.32 KiB) Viewed 296 times
Backtester5.jpg
Backtester5.jpg (265.27 KiB) Viewed 308 times

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 14 May 2008

Dear Tresor,

1. The Backtester2 screenshot shows that Equity Percent allocation is 100%. Which means that if you entered a position and used up all of your resources, you didn't have enough capital to, say, reverse.

2. Could you please send the backtesting results and point out what exactly you didn't understand?

3. What are the settings for this symbol in QuoteManager (price scale, min.movement, big point value).

Tresor
Posts: 1104
Joined: 29 Mar 2008
Has thanked: 12 times
Been thanked: 51 times

Postby Tresor » 14 May 2008

Dear Tresor,

1. The Backtester2 screenshot shows that Equity Percent allocation is 100%. Which means that if you entered a position and used up all of your resources, you didn't have enough capital to, say, reverse.


The catch is the Optimization Report showed neither loss or profit. Only Zeros.

2. Could you please send the backtesting results and point out what exactly you didn't understand?

I do not understand why there were no results (profit / loss on transactions) in the Optimization Report, while there were signals visible in MultiCharts. I will try on-line help to see if you can do your hokus pokus to my backtester and tell me what I am doing wrong.

3. What are the settings for this symbol in QuoteManager (price scale, min.movement, big point value).
price scale: as is
min movement: 1
big point value: 10
margin: 8

Regards,

User avatar
Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 14 May 2008

Dear Tresor,

1. The Backtester2 screenshot shows that Equity Percent allocation is 100%. Which means that if you entered a position and used up all of your resources, you didn't have enough capital to, say, reverse.


The catch is the Optimization Report showed neither loss or profit. Only Zeros.

2. Could you please send the backtesting results and point out what exactly you didn't understand?

Thank you!


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