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Hello,
> Okay, I think I don't need that, because I use a PositionSize
> statement inside my formula which sets the share amount per symbol.
> This has basically the same affect by controlling the number of
> shares in each position, again based on symbol.
True.
> TJ> Now if your system generates more signals simultaneously than
> TJ> available cash or max. num of open positons then it will drop
> TJ> some of the possible trades and enter only those that have
> TJ> highest scores.
>
> This is a nice idea, and some day I might use the PBT this way. For
> the moment however, the best thing about it for me is that it
> correctly states (at least I think it does) the max. sys. DD, which
> on the other backtester simply gave the largest max. sys. DD from any
> one of the symbols tested, rather than the total. Am I right about
> this? Of course, the other scoring information is great too, and the
> bar-by-bar detailed report is fantastic.
Yes. Max system drawdown reports the biggest peak-valley distance
in total portfolio equity. There is also entire porfolio equity chart
displayed after backtest.
> Now, given the way I want to use this at the moment (enough cash to
> ensure all possible positions are taken), is there any reason why the
> net result (profit or loss) run on the same stocks for the same
> period would not be exactly the same?
Yes there is a reason: compounding.
I am not sure if you are using it or not. If your positions grow as
porfolio value grows then results in portfolio backtest would be different.
Also when it happens that your system loses money then it would
be possible that certain positions could not be taken.
Third reason: if you are using the following settings:
"Activate Stops immediatelly" turned ON
and
"Allow Same Bar Exit (single bar trade)" turned OFF
then you may be affected by the bug that recently has been reported by Dave
that will be fixed in version 4.44.0
Best regards,
Tomasz Janeczko
amibroker.com
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