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Open Feature request MC-238

Misleading value for "Percent in the Market"

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Description

When I run a backtest in either MultiCharts or the Portfolio Backtester applications, the value for "Percent in the Market" is somewhat misleading or confusing. 
If I understand this correctly, it's reporting the time during which I had any positions in the market. For example, if I have a position in the market for sixty days out of a one-hundred day period, it will show "60%" as the time in the market.
The problem is that this doesn't reflect the percent of capital that is committed in the market. For example, if I have a portfolio with a value of $100,000, but only a $5,000 position in the market on a particular day, the programs will count that day as a "time in the market" day, even though 95% of the portfolio value is not being used and is sitting idle.
This is particularly a problem in the portfiolio backtester. I might have a strategy with a $100,000 portfolio, and strategies that make purchases of $10,000 per symbol. I have no way of knowing whether whether, on average, I'm using $20,000 or $80,000 of that capital on a given day. In either case, it wiill be reported as a "time in the market" day.
I would be good to have another value, like "Percent Commited Capital Per Day," that would reflect the actual available funds that are being invested per day. Thanks.

Steps to reproduce this issue

I've attached examples of two screenshots for a strategy in the Portfolio Backtester.  This uses a $100,000 portfolio with $10,000 per trade (rounded down).
There was very few trades  in 2008 and 2009, given the strange market conditions.  However, the Porfolio Backtester reports this strategy as having 63.97% "time in the market," even though many of these days only had a single symbol in the market.

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Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
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    user-offline.png  Xyzzy (Xyzzy)
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