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Hi Ara,
Thank you for the reply! Well, I have
to admit that you make it sound pretty simple and
straigntforward, and I think maybe you zeroed in on my confusion
when you mentioned "stock selection system", but to be honest I think I am
still missing something very basic. If you don't mind a follow-up
question, I will try to explain:
Using the individual backtester, I select my
watchlist and then run my system over the list. When the test is
finished, results show each stock and how well it performed under that
system. I review the results to see how well the different stocks
performed and to determine what stocks, if any, that I might consider
trading with that system - stock selection is not usually something that I do
prior to testing, except to establish a "tradable universe" based on various
price/volume calculations. Also, I do use the Positionsize
variable with the individual backtester to see how reinvesting
different amounts would affect performance.
Now switching to the portfolio
backtester...
OK, I understand that in real life we will
have an account with X amount of dollars, and that it will probably be split up
between several positions ( our portfolio ), and that we will try to remain
fully invested if possible, assuming we can find enough good looking
opportunities to invest in. So I run the portfolio backtester on a list of,
say 1000 stocks, and the results list shows all trades that were taken, and
it shows that, at some point or another, a position was taken in maybe
about 10% of the stocks in the watchlist, which I gather were the ones that had
an entry signal and the best score shortly after some cash became
available. The other tickers tested don't show up at all in the results list, so
apparently no position was ever taken in these stocks. When I look at these
results, I just don't know how to begin to interpret them.
So I guess my real question is "What can I
learn from looking at the results of a portfolio backtest?"
I get the feeling that the correct approach
to using the portfolio backtester should be totally different than the
approach for using the individual backtester, but I don't know what
that approach should be. Should I test with a smaller list of stocks
- a predefined portfolio? Should I infer that those stocks that were
actually traded are the best stocks to trade with that system? -
that sounds like a lot to infer to me, but maybe I am missing
something. Could you possibly explain briefly how you might
approach a portfolio backtest (i.e. - what stocks might you test together
and why?) and then how you might interpret the resulting report? Any
further enlightenment you can provide would be greatly
appreciated!! 8 - ) Thanks again!
Steve
----- Original Message -----
Sent: Thursday, April 27, 2006 8:52
PM
Subject: Re: [amibroker] Portfolio
Backtester
Steve
The idea behind Portfolio backtest is to simulate
trading closer to reality.
Original Backtester would allocate ALL available
funds to each trade. Not a real situation since no one has infinite $$$.
Portfolio backtest will work with your account
size and buy only as many stocks as you can afford. You can specify max number
of stocks you want, and it will allocate funds evenly ... etc. so it works
with your account parameters, while still testing your stock selection system.
It will buy additional stocks only fter you sell some and free up some
money.
----- Original Message -----
Sent: Thursday, April 27, 2006 1:26
PM
Subject: [amibroker] Portfolio
Backtester
Hi All,
I started looking into the portfolio backtester
today for the first time, and I am a bit embarresed to admit it but I have
absolutely no idea what to do with it. Functionality is explained OK but
there is very little to explain the theory behind portfolio testing or
trading. I did a little hunting on the internet but am not exactly sure
what I should be searching for. Is this for people that do basket-trading or
something similar? I would greatly appreciate it if someone could
explain how and why I would want to use this, or if possible point me
to some helpful web pages. As I have said, I know nothing about it, so even
the very basics would be great. Any help appreciated - Thanks very
much!
Steve
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