NexusFi: Find Your Edge


Home Menu

 





Portfolio Backtest Performance Question


Discussion in MultiCharts

Updated
    1. trending_up 1,643 views
    2. thumb_up 0 thanks given
    3. group 2 followers
    1. forum 1 posts
    2. attach_file 1 attachments




 
 

Portfolio Backtest Performance Question

 
 
greenroomhoo's Avatar
 greenroomhoo 
annapolis USA
 
Experience: Intermediate
Platform: Ninja, MC, Sierra, Amibroker
Broker: PFG (too bad), IB, Fidelity, AMP
Trading: ES, NQ, Equities, Forex, Etc.
Posts: 276 since Jun 2011
Thanks Given: 107
Thanks Received: 235

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.....?

Attached Thumbnails
Click image for larger version

Name:	9-26-2012 3-09-45 PM.png
Views:	204
Size:	59.6 KB
ID:	90237  
Visit my NexusFi Trade Journal Started this thread

Can you help answer these questions
from other members on NexusFi?
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Exit Strategy
NinjaTrader
Deepmoney LLM
Elite Quantitative GenAI/LLM
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
ZombieSqueeze
Platforms and Indicators
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
18 thanks
The Program
18 thanks
 
 FastBull32 
 
Posts: 39 since Oct 2012

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


 



Last Updated on January 21, 2013


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts