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Portfolio Backtest Performance Question
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Created: by greenroomhoo Attachments:1

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Portfolio Backtest Performance Question

  #1 (permalink)
Elite Member
annapolis USA
 
Futures Experience: Intermediate
Platform: Ninja, MC, Sierra, Amibroker
Broker/Data: PFG (too bad), IB, Fidelity, AMP
Favorite Futures: ES, NQ, Equities, Forex, Etc.
 
greenroomhoo's Avatar
 
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Portfolio Backtest Performance Question

So after many hours coding i was able to program my strategy. I do not intend to auto trade it but I really wanted to see if had a long term consistent edge.

I portfolio tested it against the current basket of S&P 500 stocks going back to 1995 (long only for now) and my equity curve looked like attached. No optimizing, etc. just the entry at 10k/equity with a trailing stop and partial profits at a level.

Questions:

3500 trades a big enough sample size?

Why does MC portfolio chart show 3500 trades but the summary of trades shows 16,000 trades? Even if each position was partial out that would only be 7000 trades.....?

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Portfolio Backtest Performance Question-9-26-2012-3-09-45-pm.png  
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  #2 (permalink)
Elite Member
Nicosia, Cyprus
 
Futures Experience: Intermediate
Platform: Multicharts, Tradestation
Broker/Data: Interactive Brokers, MB Trading, Tradestation for data
Favorite Futures: FX, Equities
 
Posts: 39 since Oct 2012
Thanks: 44 given, 39 received

I think 3500 trades is large enough, especially if they are spread relatively uniformly throughout the test period.
If I remember well, William Eckhardt (strategy designer and market wizard) was mentioning that they need to see 3-5 thousand backtest trades to feel comfy.

I have the same problem with my chart - it always shows about a quarter of the trades that really happen.
I didn't have time to look into it - anyone with an answer?

Take care
Andreas

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