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Portfolio Backtest

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    Portfolio Backtest

    Is there a new version or an upgrade for backtesting a portfolio of instruments?

    At the moment every single symbol is backtested alone and there
    are no advanced features for moneymanagent across instruments.

    #2
    Hello DarthTraderson,

    You can select instrument lists in the Data Series-->Instrument field of the Strategy Analyzer. Select any of the instrument lists below the division line and select "Select All".

    You can create custom instrument lists at Control Center-->Tools-->Instrument Lists.

    I am testing it currently on my end, but it seems to get stuck on "Running backtest on *instrument list name*". The progression bar does not make any advancement. Do you experience the same?
    JasonNinjaTrader Customer Service

    Comment


      #3
      I just received a "Assertion Failed" message after the backtest on the instrument list was finished. I will forward a report to development.
      Attached Files
      JasonNinjaTrader Customer Service

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        #4
        Hi Jason,

        ok, but what about portfolio moneymanagement. How is it handles and configured in NT 8?

        If a portfolio test runs, does it run on every single symbol and compute the result of every symbol together, or does ist run on every day, then for every symbol on that day and computes the account value after each day correectly? What abput the accuracy of portfolio testing to live trading a portfolio with one account?

        Comment


          #5
          It will backtest every instrument part of the instrument list. Once finished, you can view the results for each instrument individually as well as combined results.

          You can use the Historical fill processing options in the Strategy Analyzer to configure on what interval trades will occur. This is improved from NinjaTrader 7 where the Strategy Analyzer could only use the OHLC values of the data series. So it can be setup more accurately as you could do in NinjaTrader 7.
          Attached Files
          JasonNinjaTrader Customer Service

          Comment


            #6
            Ok. I guess there will be no more improvements to get better results and combined moneymanagement across a protfolio. Bad luck, but maybe in an upgrade version.

            Comment


              #7
              Sorry I am not sure if I follow. You can get more accurate results with the Strategy Analyzer in NinjaTrader 8 due to the Historical fill processing options. You can display the combined results of a backtest on an instrument list as well. If this does not address your question, can you please clarify what you mean by combined moneymanagement across a portfolio/instrument list.
              JasonNinjaTrader Customer Service

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                #8
                In addition, I only experienced the error on the first try. After I restarted NinjaTrader, I was able to perform backtests on instrument lists without issue.

                I suggest to try it yourself and check if it suits your needs. If there is anything you miss, please let us know.
                JasonNinjaTrader Customer Service

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                  #9
                  What DarthTraderson is referring to is Portfolio backtesting ie: running backtest on multiple strategies/instruments in parallel.
                  Current NT both 7 and 8 provides Basket backtesting - running strategy on multiple instruments in serial

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                    #10
                    Yes, thank you gregid. Serial execution is the correct wording for this. Actually there is no chance to compare results with live trading a portfolio, because there ist no moneymanagement across all positions.

                    Comment


                      #11
                      Thank you for clarifying.

                      The suggestion to support portfolio tests is present on our list of possible enhancements. It is assigned to SFT - 137. We added your vote.
                      JasonNinjaTrader Customer Service

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                        #12
                        Thx. Is it possible to get access to this list?

                        Comment


                          #13
                          Hello DarthTraderson,

                          Thanks for your reply.

                          The list of feature requests is not publicly available.
                          BrandonNinjaTrader Customer Service

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