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Open Feature request MC-226

strategy weighing within a multi-strategy portfolio backtest

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I would like to have the same control that you get for the whole portfolio from portfolio settings in the main portfolio backtest window, for each strategy. For example, lets say i would like to backtest 8 different strategies, and I want them all to have an equal weighting of $100k for a initial portfolio capital of $1M and 80% total exposure. Right now the only way to do that would be to run a backtest with 1 strategy with a maximum exposure of 100k then duplicate the same backtest for the other 7 and combine the results in a spreadsheet. The reason is that I can control the capital at risk per position, but I cant control it per strategy. I have checked with Andrew at tech support and he concurs that the functionality does not exist currently, and if i want I can submit this feature request. Thanks.

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Comments (1)
user-offline.png  JoshM (Jura)
May 16, 2011 - 07:52

This would be a great feature to add.

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