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Open Bug report MC-2084

Portfolio Trader of 50 day bar tickers - backtest does not run on all available data

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Description

Run a simple backtest on 2008-2016 data with some simple default signals on a 50 symbols (day bars) portfolio.
If you look at the P&L graph, you can see (more often than not, it is not always reproducible) the Strategy backtest barely generated 5-10 trades, or a small number. It's like you only set 2008-2010 as a time interval ... you will only see the first 2-3 years of data being used to generate signals. The rest of the data just gets ignored ... if you take one of those symbols on its own (as part of another Portfolio, with exactly the same settings) (to do that, simply duplicate existing portfolio and delete all but first symbol) and do a backtest, you'll see a complete pnl graph with trades taken each and every year.
This is a major functionality issue in Portfolio Trader ...

Steps to reproduce this issue

Steps:
1) Configure MC (latest) to take data from TradeStation 9.1. Set a portfolio of 50 symbols.
2) Add some simple signals (you may have to go through some choises and test a bit here).
3) Run a simple backtest (with default param values. no optimization).
4) Check pnl - you'll sometimes see trades have only been executed on first 2-3 years of your 8 year time-frame.
Check the attached pics.

Comments (1)
#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Aug 31, 2016 - 07:53

1.Please make sure that you are not limited by the available capital.
2.In case it does not help, reproduce the issue in Offline mode and send us the workspace, Export of the used instruments in .qmd file with the used data, signals with all the depending functions used on the workspace, screenshots, corresponding to the above mentioned information, demonstrating the issue.

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