I'm really liking the portfolio backtester, but I discovered a bug the developers should know about.
The backtester allows you to set a "Max Percent of Capital at Risk per Position" which is essentially not functioning, because regardless of what % you set the backtester will buy positions greater than your max capital will allow.
Example:
You have $100,000 and you set the "Max % of Capital per position to 25%" and "Max Exposure %" to 100%. This means you could hypothetically put on 4 positions consisting of $25,000 each.
The backtester WILL buy positions consisting of 25% of your capital, but it will buy many more than 4 positions. In one case, the backtester went long 12 positions simultaneously for a total of 300% capital exposure.
My strategy doesn't use margin, so this obviously skews my backtesting results.
FYI.
Bug Report: Portolio Backtester
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi elaskaris,
It would be best if you could contact us via LiveChat at http://messenger.providesupport.com/mes ... pport.html to demonstrate the situation on-line. We would have a look at the specific example you're talking about and see if there really is a bug or if there are some factors in the behavior that might have been overlooked.
Thank you for your assistance!
Regards.
It would be best if you could contact us via LiveChat at http://messenger.providesupport.com/mes ... pport.html to demonstrate the situation on-line. We would have a look at the specific example you're talking about and see if there really is a bug or if there are some factors in the behavior that might have been overlooked.
Thank you for your assistance!
Regards.