Chart Backtesting VS Portfolio Backtesting: Difference between revisions

Chart Backtesting VS Portfolio Backtesting (view source)

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-When backtesting one and the same strategy on a chart and in [[Portfolio Trader]] a user might encounter some discrepancies in the [[Using Performance Report|Strategy Performance Reports]]. To achieve similar results in both applications apart from confirming that all symbol’s, signals’ and strategy’s settings are identical in both cases it is required to meet the following requirements:
+MultiCharts and [[Portfolio_Trader|Portfolio Trader]] serve different purposes, and backtesting on charts and in Portfolio is not supposed to match. Still there are some recommendations that can help bringing the backtesting on charts and in Portfolio as close to each other as possible.
-# Portfolio should contain only 1 trading symbol (Data 1).
+==Instrument settings==
-# [[Signal_Settings#Intra-Bar_Order_Generation|Intra-Bar Order Generation]] and [[Bar Magnifier]] have to be disabled on charts, because these modes are not available for Portfolio.
-# [[Extended backtesting|Precise Backtesting]] is also not available in Portfolio Trader, therefore it is required to disable it in MultiCharts.
-# All instrument settings ([[resolution|Chart_Resolution]], [[quote field]], [[data range]]) should be the same in both applications. On the chart the Data Range should be specified as From…To and not Days/Bars Back.
-# MultiCharts has no money management, therefore it is necessary to configure the Portfolio so that it imposes no money management limits for orders:
-#* In the [[Money Management Settings|Portfolio_Settings]] section Max % of Capital at Risk per Position should be 100%.
-#* In the [[Money Management Settings|Portfolio_Settings]] section Initial Portfolio Capital should be set to maximum $1 000 000 000.
-#* No [[Portfolio_Trader#Understanding_Portfolio_Money_Management_Signals|Money Management signal]] should be used.
-# [[Strategy_Properties#Setting_Maximum_Bars_Back|Maximum number of bars study will reference (Max Bars Back)]] setting should also coincide in both.
+<br><div style="background-color: #E3FBE5;">'''Important:''' Portfolio workspace should contain only 1 symbol in the [[Data_Numbers|'''Data 1''']] column!</div>
+# [[Changing_Symbols|Only one symbol]] from one [[:Category:Built-in_Data_Sources|data source]] must be used and they must be identical in both the MultiCharts Chart and the Portfolio Trader;
+# The following parameters should be set identically:
+#* Chart type - regular or [[:category:Non-Standard_Chart_Types|non-standard]];
+#* [[Chart_Resolution|Resolution]];
+#* [[Quote_Field|Quote Field]];
+#* [[Sessions]];
+#* [[Chart_Resolution#Build_Volume_On_Selector|Build volume on]] (if the strategy uses volumes in its calculations);
+#* [[Data_Range|Data Range]]* - should be specified as From…To and not Days/Bars Back;
+#* [[Time_Zone|Time Zone]]*.
+<nowiki>*</nowiki>[[Operating_Portfolios#Data_Range|Data Range]] and [[Operating_Portfolios#Time_Zone|Time Zone]] for Portofio are specified in the [[Operating_Portfolios#Data_Series_Properties|common Data settings]].
+==Signal settings==
+# [[Signal_Settings#Setting_Input_Values|Signals’ inputs]] on the chart should match those in Portfolio precisely;
+# [[Signal_Settings#Intra-Bar_Order_Generation|Intra-Bar Order Generation]] has to be disabled on charts, because this mode is not available in Portfolio.
+==Strategy settings==
+The following strategy settings should also match:
+# on the '''Properties''' tab:
+#* [[Strategy_Properties#Setting_Costs.2FCapitalization|Commission Rule]];
+#* [[Strategy_Properties#Setting_Costs.2FCapitalization|Slippage]];
+#* [[Strategy_Properties#Setting_Costs.2FCapitalization|Init Capital]] (for Portfoio this parameter is specified in the common [[Portfolio_Settings|Portfolio Settings]]);
+#* [[Strategy_Properties#Setting_Maximum_Bars_Back|Maximum number of bars study will reference]];
+#* [[Strategy_Properties#Setting_Position_Limits|Position limits]];
+#* [[Strategy_Properties#Setting_Trade_Size|Trade size]];
+# on the '''Backtesting''' tab:
+#* [[Limit_Order_Execution_Assumptions|Backtesting assumptions]];
+#* [[Realtime-History_Matching|Realtime-history matching]];
+#* [[Bar Magnifier]] and [[Precise_Backtesting|Extended backtesting]] are unavailble for Portfolio, so on the chart it is required to disable these options.
+==Portfolio Trader specific settings==
+The following settings are unavailable on charts, therefore they need to be configured so that they don’t influence Portfolio backtesting. In the [[Portfolio_Settings|'''Money Management Settings''']] section:
+* Exposure = 100%
+* Max % of Capital at Risk per Position  = 100%
+* Margin value = 0
+* Max Potential Loss = 0
+<br>
+<div style="background-color: #ff9999;"> '''NOTE:''' Even with all of these recommendations implemented there’s a possibility that the backtesting results in both applications will not match. This is related to the code’s specific and one should review the strategy’s code to find the reason for the discrepancy. An example of how to do that can be found [[Why_an_Order_Was_or_Was_Not_Executed|'''here''']]. </div>
 [[Category:FAQ]]