Difference between revisions of "Chart Backtesting VS Portfolio Backtesting"
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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 | + | 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 one needs to verify the following: |
− | + | ==Instrument settings== | |
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+ | <br><div style="background-color: #E3FBE5;">'''Important:''' Portfolio workspace should contain only 1 symbol in the [[Data_Numbers|'''Data 1''']] column!</div> | ||
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+ | # [[Changing_Symbols|One and the same symbol]] from one and the same [[:Category:Built-in_Data_Sources|data source]] should be chosen in both MultiCharts and Portfolio; | ||
+ | # 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 it’s 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== | ||
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+ | # [[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. | ||
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+ | ==Strategy settings== | ||
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+ | The following strategy settings should also match: | ||
+ | |||
+ | # on the [[Strategy_Properties|'''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]]. | ||
+ | |||
+ | With all these recommendations met the backtesting results of Portoflio and charts should coincide. | ||
[[Category:FAQ]] | [[Category:FAQ]] |
Revision as of 13:21, 23 May 2019
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.