Support Board
Date/Time: Fri, 31 Jan 2025 21:04:25 +0000
Portfolio Back-Test and Account Level
View Count: 1237
| [2019-05-07 15:43:53] |
| User40085 - Posts: 10 |
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Dear SC, I would like to be able to run a back-test on a portfolio in parallel where I can reference a portfolio wide account value and existing positions bar by bar. It seems that with bar-based back-testing with scan this is not possible because back-testing is done one market at a time. However, is it possible to achieve this sort of thing with a replay style back-test using ACSIL? Also, if this is not possible, would it be fair to say that the most practical way to achieve a portfolio back-test would be to output "normalized" trading results (e.g. quantity traded per unit of risk for instance) into data files that could then be picked up and processed by another program or spreadsheet? Thank you in advance. I expect you must have had this sort of question many times already, but after some hours of searching I haven't been able to find the answer. Sincerely, Paul Date Time Of Last Edit: 2019-05-08 05:45:25
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| [2019-05-09 17:00:55] |
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This is still pending
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-05-23 02:21:26] |
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We apologize for the delay. This just required some careful consideration. Can you tell us how many items in the portfolio you want to back test at the same time? It certainly is possible during a back test to access the cumulative net profit/loss for all of the charts which are open and tracking a PL (using a Trades list). We are reviewing the ACSIL function for this and documenting it. One thing to be aware of is that Sierra Chart does not maintain an account balance for simulated trading within Sierra Chart. Only the cumulative and daily profit/loss is known for an account. You can certainly replay multiple charts at the same time with their own trading systems and each of them can be for a different symbol. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-05-23 02:46:13
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| [2019-05-23 12:57:51] |
| User40085 - Posts: 10 |
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Thank you very much for your response. I look forward to checking out the Trades list feature very soon. I think SC is a great product and I love using it! Ideally I would like to back test portfolios with around 50 markets-trading strategy combinations (could be the same market with more than one trading strategy applied). The most important reason for simulating the markets in parallel is to correctly perform the periodic rebalancing of portfolio-wide equity among all of the market-trading system combinations. A secondary benefit would be to see statistics on the account equity at the portfolio level. Best Regards. |
| [2019-05-31 05:08:03] |
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This is the ACSIL function we were referring to: sc.GetTotalNetProfitLossForAllSymbols() We think it would be reasonable to perform a back test on 50 symbols at a time which would require 50 different charts. Refer to: Auto Trade System Back Testing: Performing Back Testing on a Trading System That Uses Multiple Charts This documentation would also be applicable in your case as well. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-05-31 05:08:26
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