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One interesting way I have started using the new Portfolio
Backtester is to track my own live trading performance. Here's how:
1. Extract transactions list from my brokerage's "Transactions" page
2. Write a small script to convert Transactions list into AFL
buy/sell signals...e.g.
...
Buy=Buy OR (DateNum()==1031118 AND Name()=="URMP");
Buysize= IIf(DateNum()==1031118 AND Name()=="URMP",6000,buysize);
BuyPrice=IIf(DateNum()==1031118 AND Name()=="URMP",0.225,BuyPrice);
...
4. Copy/Paste the AFL code into AA window
5. Add following line:
PositionSize=Buysize*BuyPrice;
6. Run Portfolio Backtester
and Voila!...i get a plethora of metrics telling me how well i am
doing, i get account equity curves, trade equity curves, i get trade
by trade P/L and MAE info and much more!...This is extremely useful
information to have if you are a discretionary (or semi-
discretionary trader). It is interesting to start looking at your
own discretionary trading as a system, because in the end it all
boils down to buy/sell signals and you can see what areas you need
to work on..Even if you are trading a system (or trying to :) ),
using this approach can provide valuable information regarding the
difference between perceived theoretical performance of your system
and actual measured performance. It can show you where your actual
results are deviating from the theoretical expectations.
Through this post I also would like to draw attention to the fact
that implementing pyramiding is an essential step towards the
maturing of the portfolio backtester. Right now, for example,
Portfolio backtester gets the P/L wrong on some trades just because
pyramiding is not yet implemented. It retains the share size of the
first trade even if i bought the same security multiple times before
selling. I do not know of a way to get around this except to wait
patiently for pyramiding to be implemented (i am open to
suggestions?)
I thank Tomasz for providing such a nice tool and continuing to
improve the product with great momentum. I am *really* looking
forward to seeing pyramiding implemented in the near future.
Thanks and Best regards to all
g
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