Portfolio backtester?

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greenroomhoo
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Portfolio backtester?

Postby greenroomhoo » 15 Feb 2012

Is there away to have it close all trades so there is no Open Position PL?
Does the Gross/Net Profits include the Open Position PL?

thanks

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Dave Masalov
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Re: Portfolio backtester?

Postby Dave Masalov » 16 Feb 2012

Hello greenroomhoo,

Is there away to have it close all trades so there is no Open Position PL?


You want to see portfolio performance report with all positions closed (no Open Position PL), is my understanding correct?

The only way to do so is to close the positions using your script. I.e. close all open positions at the end of every trading session.

Does the Gross/Net Profits include the Open Position PL?


No it does not. You can calculate the sum of Portfolio_NetProfit and Portfolio_OpenPositionProfit in your script.

greenroomhoo
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Re: Portfolio backtester?

Postby greenroomhoo » 16 Feb 2012

ok thanks.

Xyzzy
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Re: Portfolio backtester?

Postby Xyzzy » 18 Feb 2012

I have a simple signal to do this, called "_Close Last Trade." It just has four lines of code:

Code: Select all

If LastBarOnChart AND MarketPosition = 1 then begin
   Sell this bar at close ;
   BuyToCover this bar at close ;
end ;


You can just add this additional signal to your existing portfolio, rather than having to add custom code to each and every script.

This is adapted from some code by Sunny Harris in TS Made Easy. (A good introductory book that's largely transferable to MultiCharts.)

http://www.amazon.com/TS ... 0471353531
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txls
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Re: Portfolio backtester?

Postby txls » 18 Feb 2012

Code: Select all

If LastBarOnChart AND MarketPosition = 1 then begin


if Marketposition <> 0, no?
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Xyzzy
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Re: Portfolio backtester?

Postby Xyzzy » 18 Feb 2012

D'oh! Good catch.
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greenroomhoo
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Re: Portfolio backtester?

Postby greenroomhoo » 18 Feb 2012

Wow many many thanks for this.


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