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Understanding Portfolio Backtesting: Difference between revisions

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== Understanding Dynamic Portfolio ==
== Understanding Dynamic Portfolio ==


A dynamic portfolio strategy is more then simply a collection of separate strategies, and must take in to account a number of additional factors:
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 in to account the overall portfolio considerations dynamically, during the evaluation of each bar.
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 to consideration when making entry and exit decisions.
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.


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