Portfolio backtester with MM signal - backtesting starts much later!

August 25th, 2016, 05:46 PM

When adding a Money Management signal in portfolio trader backtester the backtesting suddenly starts at a much later date.

When using:
- Portfolio rotation entry signal - and using data range 2000-01-01 - 2016-08-25 - the backtest starts 2000-01-01.
- Portfolio rotation entry signal AND Portfolio rotation MM signal - and using data range 2000-01-01 - 2016-08-25 - the backtest starts 2012-04-13.

I have also tested with other MM signals. Same thing happens. Why? How do I fix this?

Thanks in advance.

ABCTG · August 26th, 2016, 02:24 AM

Gabriel123,

the first symbol in your instruments is most likely the limiting factor here, as MC will compute the Money Management signal on the first instrument. If this has data going back only until 2012 (or so), this would explain the result you are seeing.
Unfortunately MC won't automatically apply the Money Management to all symbols or chose the one with the longest history, but will use the first instrument of the first active strategy within the Portfolio.

Change the portfolio instruments around by making one symbol the first in the list that gives you a trade in 2000 already (when you run the portfolio without the money management).

Regards,

ABCTG

August 26th, 2016, 02:40 AM

Sent from my iPad using NexusFi mobile app

Portfolio backtester with MM signal - backtesting starts much later!

Discussion in MultiCharts

Portfolio backtester with MM signal - backtesting starts much later!