Which performance report is most accurate?

February 15th, 2019, 07:59 PM

Can anyone explain why performance reports for the same signal differ between Portfolio Trader and when the signal is applied to the chart?

Currently using both with default settings. The difference in reports is fairly sizeable, to the point where a signal may be profitable in one but not in the other.

Which is most realistic?

February 17th, 2019, 12:44 PM

when any signal fires there is some lag . then the trade has to be executed in the live market. most use market orders depending on the market depth and how many other traders are trading that signal there can be a lot of slippage . .then you add in commission on all the trades .. that makes a lot of bolts unprofitable in the real world . the back testing looks good . big banks trading with blots have there systems trading next door to the exchange and do not even pay commissions . that get payed for just trading ..

February 18th, 2019, 12:01 AM

I would check the historical fill resolution both backtests.

If you're using limit orders you could see a lot of variation depending on how you determine historic fills are made.
Alternatively one backtest might include slippage/commissions and the other might not, which could be adversely affecting the results.

It would help if you can tell us more about the strategy, i.e what types of orders and the timeframe youre using.

ABCTG · February 18th, 2019, 04:24 AM

mitty,

in general testing on a chart allows using the bar magnifier, which is not available for the Portfolio Trader.
Depending on your code using the bar magnifier can give you a more accurate back test or in other words you could see an overly optimistic test result without it.

Why the results differ on your end is hard to guess without knowing the exact settings and strategy. If your strategy uses intrabar order generation for example, which is not available
for the Portfolio Trader, this could cause quite a different outcome.

Regards,

ABCTG

Which performance report is most accurate?

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Which performance report is most accurate?