multiple currency calculation in portfolio backtest

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gautama2
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multiple currency calculation in portfolio backtest

Postby gautama2 » 30 Oct 2008

Hi,
could you pls. consider to allow working with multiple currencies in the portfolio test?
If i got european and US titles in a portfolio, i cannot mix USD and EUR prices into the result.

Regards Robert

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Marina Pashkova
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Postby Marina Pashkova » 28 Nov 2008

Hi Robert,

You have pointed out a very important issue. It will be solved in the future portfolio versions.

Right now we are working on major changes in Portfolio Backtester. It will become easier to use, will allow mixing different resolutions as well as applying different strategies to different symbols.

Regards.

glam_100
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Postby glam_100 » 10 Dec 2008

When would the new portfolio backtester come out?

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Marina Pashkova
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Postby Marina Pashkova » 18 Dec 2008

Hi glam_100,

The next version of Portfolio Backtester will be available in MultiCharts 5 Gold due in February. The features that I listed in my previous post, will be included into that version of the backtester.

Regards.

glam_100
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Postby glam_100 » 02 Jan 2009

Is the new portfolio backtester going to have monte carlo analysis feature?

It's a feature relatively easy to implement but is very important.

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Andrew Kirillov
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Postby Andrew Kirillov » 03 Jan 2009

Glam_100,
It is planned to Q1-Q2 of 2009. Can you explain how Monte Carlo analysis helps to improve trading results? I read about this technique, but I'm still not sure it is useful.
Thank you.

glam_100
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Postby glam_100 » 03 Jan 2009

Glam_100,
It is planned to Q1-Q2 of 2009. Can you explain how Monte Carlo analysis helps to improve trading results? I read about this technique, but I'm still not sure it is useful.
Thank you.


It is very important. It gives you a better idea of more realistic drawdown. Please take a look at Rina Portfolio Stream 6 and look at their monte carlo implementation. I think they have the best monte carlo implementation around. They allow you to select shuffling the daily, weekly, monthly equity curve, as well as individual trades. The shuffle individual trade option is very useful in higher frequency trades that trades more than 1 time per day. Also they let you choose the SIZE of the SAMPLE (not to be confused with the no. of trails). This is absolutely crucial and most other package don't have this option. If you don't have this option monte carlo runs are really meaningless because the numbers you get will only get bigger as you add more trades to the sample.

Anyways it's a very simple but brilliant monte carlo implementation. Please take a look at it if you could.

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Andrew Kirillov
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Postby Andrew Kirillov » 05 Jan 2009

Thank you for the explanation. I don't have Rina Portfolio Stream 6 so could you make screenshots with explanations and extracts from their help system?
Thank you

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Postby glam_100 » 05 Jan 2009

Thank you for the explanation. I don't have Rina Portfolio Stream 6 so could you make screenshots with explanations and extracts from their help system?
Thank you


Andrew what is your email address?

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Andrew Kirillov
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Postby Andrew Kirillov » 05 Jan 2009

I've sent you pm.


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