Chart Backtesting VS Portfolio Backtesting: Difference between revisions
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Chart Backtesting VS Portfolio Backtesting (view source)
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When backtesting one | 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: | ||
==Instrument settings== | |||
<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 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== | |||
# [[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. | |||
With all these recommendations met the backtesting results of Portoflio and charts should coincide. | |||
[[Category:FAQ]] | [[Category:FAQ]] |