Understanding Portfolio Backtesting: Difference between revisions
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== Understanding Dynamic Portfolio == | == Understanding Dynamic Portfolio == | ||
A dynamic portfolio strategy is more | A dynamic portfolio strategy is more than simply a collection of separate strategies, and must take into account a number of additional factors: | ||
* Capital limits | * Capital limits | ||
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Batch Portfolio Backtesting, also known as Basket Backtesting, evaluates each strategy separately and then compiles the results. | Batch Portfolio Backtesting, also known as Basket Backtesting, evaluates each strategy separately and then compiles the results. | ||
True Dynamic Portfolio Backtesting simulates the actions of a real trader by taking | True Dynamic Portfolio Backtesting simulates the actions of a real trader by taking into account the overall portfolio considerations dynamically, during the evaluation of each bar. | ||
Portfolio equity and the available capital are dynamically evaluated for every instrument, on every bar, in order to determine the amount available to be invested. | Portfolio equity and the available capital are dynamically evaluated for every instrument, on every bar, in order to determine the amount available to be invested. | ||
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When available capital is insufficient to enter all of the trading opportunities that arise simultaneously, the best opportunities are selected according to user-customizable criteria. | When available capital is insufficient to enter all of the trading opportunities that arise simultaneously, the best opportunities are selected according to user-customizable criteria. | ||
In addition to the performance of a particular instrument, portfolio drawdown or other portfolio performance aspects can be taken | In addition to the performance of a particular instrument, portfolio drawdown or other portfolio performance aspects can be taken into consideration when making entry and exit decisions. | ||
<br> | <br> | ||
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The entire process is repeated for the next bar of each of the portfolio symbol's data series. | The entire process is repeated for the next bar of each of the portfolio symbol's data series. | ||
<br> | <br> | ||
[[Category:Portfolio Trading]] |