Chart Backtesting VS Portfolio Backtesting

MultiCharts and Portfolio Trader serve different purposes, and backtesting on charts and in Portfolio is not supposed to match. Still there are some recommendations that can help bringing the backtesting on charts and in Portfolio as close to each other as possible.

Instrument settings

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:
   • Chart type
   • Resolution
   • Quote Field
   • Sessions
   • Build volume on (if the strategy uses volumes in its 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

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:
   • 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;
2. on the Backtesting tab:
   • Backtesting assumptions;
   • Realtime-history matching;
   • Bar Magnifier and Extended backtesting are unavailble for Portfolio, so on the chart it is required to disable these options.

Portfolio Trader specific settings

The following settings are unavailable on charts, therefore they need to be configured so that they don’t influence Portfolio backtesting. In the Money Management Settings section:

• Exposure = 100%
• Max % of Capital at Risk per Position = 100%
• Margin value = 0
• Max Potential Loss = 0

Even with all of these recommendations implemented there’s a possibility that the backtesting results in both applications will not match. This is related to the code’s specific and one should review the strategy’s code to find the reason for the discrepancy. An example of how to do that can be found here.