Chart Backtesting VS Portfolio Backtesting
From MultiCharts
When backtesting one and the same strategy on a chart and in Portfolio Trader a user might encounter some discrepancies in the Strategy Performance Reports. To achieve similar results in both applications one needs to verify the following:
Instrument settings
Important: Portfolio workspace should contain only 1 symbol in the Data 1 column!
- One and the same symbol from one and the same data source should be chosen in both MultiCharts and Portfolio;
- The following parameters should be set identically:
- Chart type - regular or non-standard;
- Resolution;
- Quote Field;
- Sessions;
- Build volume on (if the strategy uses volumes in it’s calculations);
- Data Range* - should be specified as From…To and not Days/Bars Back;
- Time Zone*.
*Data Range and Time Zone for Portofio are specified in the common Data settings.
Signal settings
- Signals’ inputs on the chart should match those in Portfolio precisely;
- 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:
- Commission Rule;
- Slippage;
- Init Capital (for Portfoio this parameter is specified in the common Portfolio Settings);
- Maximum number of bars study will reference;
- Position limits;
- Trade size;
- on the Backtesting tab:
With all these recommendations met the backtesting results of Portoflio and charts should coincide.