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Backtesting Tips
- Collect prices prior to testing portfolios. If your portfolio currency is different than at least one symbol currency in the portfolio, collect the currency pair as well. If you use reference symbols on different time frames than trading symbols, collect the prices for the reference symbols before testing.
- Separate different strategies and symbol lists into separate portfolios. This will help you to know their performances. You can combine them into portfolios later for the overall performance report.
- Review all portfolio assumptions prior to launching a portfolio test. These assumptions include money management strategies with their parameters, a ranking strategy with its parameters, portfolio capital and constraints, commissions, slippage and statistics settings, bars referenced, base and portfolio currencies and the currency conversion method.
- Performance of two portfolios combined may not be equal to the combined performances of these portfolios. This may be so because of the money management and constraints which limit the use of the capital available for trading.
- When combining several portfolios into one, check bars referenced (Go to Manage System Groups – Edit Strategies). If the values of bars referenced in the portfolios combined are different, the combined portfolio equity curve will reflect it and its Sharpe ratio will be smaller than if the values of bars referenced are equal.
- When applying money management, and trade position size does not match your expectations, go to View Performance Report – Trades tab, and scroll to the right of the report to see the formula and the values used to understand the position size calculations.
- Applying money management or constraints may lead to cancelling a trade. To view the trades that were cancelled because of position size equal 0 or a constraint, go to View Trace Log and select the tab required.
- When testing is expected to take a lot of time, consider writing your strategy in VB.NET or C# languages. Execution of a strategy written in these languages takes about 50% of the time it takes for the same strategy in EasyLanguage.
- The time of optimization linearly depends on the number of input combinations. The number of input combinations can be determined by (maximum–minimum)/step for each input. For example, it will take 100,000 input combinations for 5 inputs from 1 to 10 with a step 1. For more details read “Some sizing considerations” in the User’s Guide for the software.
- To save your work, back up the directory where the software is installed. By default the directory is C:\Program files\RINA Technologies \Portfolio Maestro.
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