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 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:
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When backtesting one strategy that is the same on a chart and in [[Portfolio_Trader|Portfolio Trader]] a user may encounter some discrepancies in the [[Using Performance Report|Strategy Performance Reports]]. To achieve similar results in both applications one needs to verify the following:
  
# Portfolio should contain only 1 trading symbol (Data 1).
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==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.
 
# [[Precise Backtesting|Extended backtesting]] is also not available in Portfolio Trader, therefore it is required to disable it in MultiCharts.
 
# All instrument settings ([[Chart_Resolution|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 [[Portfolio_Settings|Money Management Settings]] section Max % of Capital at Risk per Position should be 100%. 
 
#* In the [[Portfolio_Settings|Money Management 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.
 
  
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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|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;
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# The following parameters should be set identically:
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#* Chart type - regular or [[:category:Non-Standard_Chart_Types|non-standard]];
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#* [[Chart_Resolution|Resolution]];
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#* [[Quote_Field|Quote Field]];
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#* [[Sessions]];
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#* [[Chart_Resolution#Build_Volume_On_Selector|Build volume on]] (if the strategy uses volumes in it’s calculations);
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#* [[Data_Range|Data Range]]* - should be specified as From…To and not Days/Bars Back;
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#* [[Time_Zone|Time Zone]]*.
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<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]].
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==Signal settings==
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# [[Signal_Settings#Setting_Input_Values|Signals’ inputs]] on the chart should match those in Portfolio precisely;
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# [[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:
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# on the '''Properties''' tab:
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#* [[Strategy_Properties#Setting_Costs.2FCapitalization|Commission Rule]];
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#* [[Strategy_Properties#Setting_Costs.2FCapitalization|Slippage]];
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#* [[Strategy_Properties#Setting_Costs.2FCapitalization|Init Capital]] (for Portfoio this parameter is specified in the common [[Portfolio_Settings|Portfolio Settings]]);
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#* [[Strategy_Properties#Setting_Maximum_Bars_Back|Maximum number of bars study will reference]];
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#* [[Strategy_Properties#Setting_Position_Limits|Position limits]];
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#* [[Strategy_Properties#Setting_Trade_Size|Trade size]];
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# on the '''Backtesting''' tab:
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#* [[Limit_Order_Execution_Assumptions|Backtesting assumptions]];
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#* [[Realtime-History_Matching|Realtime-history matching]];
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#* [[Bar Magnifier]] and [[Precise_Backtesting|Extended backtesting]] are unavailble for Portfolio, so on the chart it is required to disable these options.
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With all these recommendations met the  backtesting results of Portoflio and charts should coincide.
  
  
 
[[Category:FAQ]]
 
[[Category:FAQ]]

Revision as of 16:47, 23 May 2019

When backtesting one strategy that is the same on a chart and in Portfolio Trader a user may 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!
  1. Only one symbol from one data source must be used and they must be identical in both the MultiCharts Chart and the Portfolio Trader;
  2. The following parameters should be set identically:

*Data Range and Time Zone for Portofio are specified in the common Data settings.

Signal settings

  1. Signals’ inputs on the chart should match those in Portfolio precisely;
  2. 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:

  1. on the Properties tab:
  2. on the Backtesting tab:

With all these recommendations met the backtesting results of Portoflio and charts should coincide.