Portfolio Backtester Suggestion

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furytrader
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Portfolio Backtester Suggestion

Postby furytrader » 16 Nov 2010

Maybe I'm just not clear about how to use the Portfolio Backtester, but is there a way to run a backtest on a portfolio of two strategies, for example, and have the portfolio backtest report show both the combined performance of the portfolio as well as the contribution of each strategy? It would be great to see whether two strategies are trading at roughly the same time or at different times, etc. Even in the list of trades, it's difficult to tell which strategy is generating a trade, or whether the combination of strategies is leading to a smoother equity curve or a more volatile one.

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Henrik
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Re: Portfolio Backtester Suggestion

Postby Henrik » 17 Nov 2010

Yes, its possible. Because this the tool is called "PORTFOLIO backtester" ;-)
Easyly add the second Strategy...

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furytrader
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Re: Portfolio Backtester Suggestion

Postby furytrader » 17 Nov 2010

Thanks for the, err, tip. I know how to add the second strategy.

Unfortunately, when you look at the results, the backtest report generated by the Portfolio Backtester makes no distinction between the strategies used to generate the returns for the overall portfolio. In other words, you could have one strategy that generates one trade during the lookback period, while a second strategy generates 100 trades, and there's no way to identify the relative contributions of the two strategies.

To me, it seems like a very obvious thing to do. Competing products do it, and I can't imagine that it would be terribly difficult, since the data is there already.

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Dave Masalov
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Re: Portfolio Backtester Suggestion

Postby Dave Masalov » 17 Nov 2010

Dear furytrader,

I have forwarded your suggestions to the developers. At the moment there are two workarounds:

- Create two strategies with one symbol each (same one or different) and apply different signals to them. Thus, you can distiguish between two strategies in Breakdown by Signals or in the List of Trades.

- You can also name entries from different strategies differently (in the code) to see to which signal the trade belongs in the List of Trades.


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