+1 888 340 6572

GET STARTED

Open Bug report MC-2375

Portfolio Trader with 2 oposing strategies running on same instrument with same timeframe & history, on same broker: PNL graph looks surprisingly incorrect: instead of one line, there are two taking totally different paths

Votes

- No additional actions available

Description

When applying two opposite signals in their own separate Strategies but on same symbol within a portfolio trader session, one would expect that when a backtest is run, the two completely oposing PNL Shapes would cancel eachother and result in a completely FLAT Aggregated PNL Line ... well, that's not the case: Aggregated PNL Line has actually two separated High & Low (green & red) lines ... which make little sense ... there should be a flat zero line.

Steps to reproduce this issue

Open Portfolio Trader, add two 2 strategies.
Under each Strategy - Instrument, add the same instrument - say @EC (1.1.2010 - now, daily bars local TimeZone).

Build a strategy test:
Once begin
Cleardebug; Clearprintlog;
end;

If BarNumber = 1 then buy next bar at open;

If BarNumber = 3000 then sell next bar at open;

Build a strategy test1:

Once begin
Cleardebug; Clearprintlog;
end;

If BarNumber = 1 then sellshort next bar at open;

If BarNumber = 3000 then buytocover next bar at open;

As you can see it's the same strategy but with inversed signals.

When applying first signal to first strategy and second signal on second strategy one would expect that when a backtest is run, the two completely oposing PNL Shapes would cancel eachother and result in a completely FLAT Aggregated PNL Line ... well, that's not the case: Aggregated PNL Line has actually two separated High & Low (green & red) lines ... which make little sense ... there should be a flat zero line.

Comments (10)

Toggle system-generated comments

andb (andb)

Andrei
Last seen online at Apr 19, 2024 - 01:07
Show user details

Nov 04, 2017 - 00:32

A file was uploaded. Capture.PNG

andb (andb)

Andrei
Last seen online at Apr 19, 2024 - 01:07
Show user details

Nov 04, 2017 - 00:32

A file was uploaded. CaptureA.PNG

andb (andb)

Andrei
Last seen online at Apr 19, 2024 - 01:07
Show user details

Nov 04, 2017 - 00:32

A file was uploaded. CaptureB.PNG

Zheka (Zheka)

Evgeni Andreyev
Last seen online at Apr 04, 2024 - 11:55
Show user details

Nov 07, 2017 - 17:38

I was able to reproduce this bug. Equity Curve Detailed with Drawdown also shows incorrect intraday drawdown values.

In the process I discovered another bug: "xxx Bars Back" in Data Range does not load more then 3 months of data.

See Bug Report
https://www.multicharts.com/pm/public/multicharts/issues/MC-2376

MultiCharts Support (MultiCharts)

MultiCharts Support
Last seen online at Apr 17, 2024 - 12:37
Show user details

Nov 10, 2017 - 21:47

A file was uploaded. screen3.PNG

MultiCharts Support (MultiCharts)

MultiCharts Support
Last seen online at Apr 17, 2024 - 12:37
Show user details

Nov 10, 2017 - 21:47

A file was uploaded. screen2.PNG

MultiCharts Support (MultiCharts)

MultiCharts Support
Last seen online at Apr 17, 2024 - 12:37
Show user details

Nov 10, 2017 - 21:47

A file was uploaded. screen1.PNG

MultiCharts Support (MultiCharts)

MultiCharts Support
Last seen online at Apr 17, 2024 - 12:37
Show user details

Nov 10, 2017 - 21:51

Hello andb,

Let me introduce some terms:
Equity High – max Equity per bar;
Equity Low – min Equity per bar.

Aggregated Equity High is equal to the Equity High sum of all symbols.
Aggregated Equity Low is equal to the Equity Low sum of all symbols.
Please refer to the attached screenshots.

The results you are getting are expected since MC Portfolio doesn’t make a difference between similar and different symbols and simply creates the sum of them. For MC Portfolio all symbols in different cells are separate, not related to each other, and there is no information about the price movement inside a bar.

A straight equity line shall be displayed for 1 tick resolution.

Edit comment #8

Comment visibility (whether to hide this comment for "regular users")

Comment

Selected syntax: Plaintext ▼

To auto-link to an existing issue, write "issue", "bug", "ticket" or the issue type (like "bug report" or "enhancement") followed by the issue number (ex: "ticket #3" or "bug report MYPROJ-1"). Enclose sourcecode samples between two "~~~~" lines.
See more formatting tips in MarkdownFormatting.

To create a bulleted list, start one or more lines with a star ("* bulleted list item"). You can create a numbered list by using the hash/pund sign instead ("# numbered list item").
See more formatting tips in MarkdownFormatting.

You can use simple formatting tags for underlined text () or strikethrough ().
See more formatting tips in WikiFormatting.

or cancel

Reply to comment #8

Comment visibility (whether to hide this comment for "regular users")

Selected syntax: Plaintext ▼

The Bug Genie uses an enhanced flavor of the markdown syntax, which makes each newline count. If you want to add a linebreak, add a new line and it will be presented just like you type.
See more formatting tips in MarkdownFormatting.

URLs will be automatically transformed to links. If you want to add a title, use the link formatter: [[http://awesome.com/something An awesome link]].
See more formatting tips in WikiFormatting.

or cancel

Zheka (Zheka)

Evgeni Andreyev
Last seen online at Apr 04, 2024 - 11:55
Show user details

Dec 01, 14:21, in reply to comment #8

Alex,

What is then the calculation for "Intraday drawdown" in the Equity Curve Detailed with DD chart?

#10

MultiCharts Support (MultiCharts)

MultiCharts Support
Last seen online at Apr 17, 2024 - 12:37
Show user details

Dec 22, 2017 - 18:42

DrawDown on Equity Curve Detailed graph shows drawdown from maximum equity value within the bar. As an example, you can apply the following signal to MSFT 1 Day chart. Values printed in Output window of PowerLanguage Editor shall correspond to the DrawDown values on Equity Curve Detailed graph.

[IntrabarOrderGeneration=True]
if currentbar=10 and barstatus=2 then buy next bar at market;
if currentbar=20 and barstatus=2 then sell next bar at market;
once cleardebug;
var: intrabarpersist max_eq(0), intrabarpersist dd(0);
if marketposition<>0 then
begin
if max_eq <> netprofit+maxpositionprofit then dd = 0;
max_eq = netprofit+maxpositionprofit;
end;
if barstatus = 0 then dd = 0;
if dd < max_eq - i_OpenEquity then dd = max_eq - i_OpenEquity;
if currentbar>10 and currentbar<25 and barstatus=2 then
print("dt= ", datetimetostring(datetime), dd:10:5 );

Edit comment #10

Comment visibility (whether to hide this comment for "regular users")

Comment

Selected syntax: Plaintext ▼

Don't worry about URLs - they will automatically be transformed to links.
See more formatting tips in MarkdownFormatting.

If you want to add text that is not supposed to be parsed, put it inside tags, or start the line with a space.
See more formatting tips in WikiFormatting.

or cancel

Reply to comment #10

Comment visibility (whether to hide this comment for "regular users")

Selected syntax: Plaintext ▼

Code samples are best presented between two "~~~~"-lines. The Bug Genie uses GeSHi for syntax highlighting with support for over 100 languages! (<source lang="php"><?php echo "fu"; ?></source>)
See more formatting tips in MarkdownFormatting.

If you want to put a horizontal line in the document, use four dashes: "----".
See more formatting tips in WikiFormatting.

or cancel

History

Issue basics

Type of issue

Bug report Unknown issue type
Issue label

No label set
Category

Not determined
Targeted for

Not determined
Status

Not a bug

Status not determined
Progress
Priority

Not determined

Affected by this issue (0)

There are no items

People involved

Posted by
andb (andb)

Andrei
Last seen online at Apr 19, 2024 - 01:07

Show user details
Owned by

Not owned by anyone
Assigned to

Not assigned to anyone
Subscribers

2 subscriber(s)

Click here to show the list of subscribers