I think I have found a bug that occurs when basket backtesting lots of symbols. When backtesting over all 500 S&P symbols I get a combined result of "59.250.127.268.032%" for Total Net Profit which probably is a bit too much:
...
YAHOO!_INV 001 048%
YUM!BRANDS_INV 001 -072%
ZIMMERBIOMET_INV 001 -009%
ZIONS_INV 001 -069%
ZOETISINC_INV 001 -021%
Combined results 001 59.250.127.268.032%
I attached the exportet backtest results als xslx to this post.
And please let me ask also a question:
I really could not find any information about how the "Combined Results" are aggregated for the different columns when executing a basket backtest. Some columns like Gross profit and Gross loss are obviously justed a sum of all symbol tests. But other columns I do not understand.
For example the results for these three symbols:
ADIDASAG_GOD 001 3/7 (Stop Loss,Profit Target) 034%
ALLIANZSE_GOD 001 3/7 (Stop Loss,Profit Target) -059%
BASFSE_GOD 001 3/7 (Stop Loss,Profit Target) -049%
Combined results 001 3/7 (Stop Loss,Profit Target) -027%
How is the 27% calculated please?
Thanks in advance!
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