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RE: [amibroker] Portfolio Backtester



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You can find more just like that one in the help files....
 
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From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Steve Dugas
Sent: Sunday, April 30, 2006 6:01 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Portfolio Backtester

Nice - this is certainly a timesaver!  Thank you Mark!
 
Steve
----- Original Message -----
From: Mark H
Sent: Sunday, April 30, 2006 3:52 PM
Subject: Re: [amibroker] Portfolio Backtester

Steve:
 
I think the following picture worth a thousand words ;-)
 
- Mark H.
 
 
----- Original Message -----
Sent: Sunday, April 30, 2006 2:42 PM
Subject: Re: [amibroker] Portfolio Backtester

OK, thanks very much Ara. I am sorry for the delayed reply, I was away from the computer yesterday. After sleeping on it, I think maybe what I will do is this:
 
1. Search through some past e-mails to try and understand how the portfolio backtester works internally. ( I am wondering, for example, if it makes 2 or more passes, in order to set up individual signal arrays prior to taking any trades? ). Anyone know offhand if there are any good docs around on this?
 
2. Try running the two backtesters side-by-side for a bit and comparing the results to see what useful things I can glean from the Portfolio report. Will post if I should discover anything important - thanks again for the help!
 
Steve
 
----- Original Message -----
Sent: Friday, April 28, 2006 11:33 PM
Subject: Re: [amibroker] Portfolio Backtester

Steve,
 
You seem to have grasped the portfolio backtest quite well.... "Stock Selection" might have been an unfortunate phrase that I used ...
 
What it provides above all is that it provides some approximation to the real world.
 
Your conclusion that "Should I infer that those stocks that were actually traded are the best stocks to trade with that system?" is quite correct. The issues trades were indeed the best at the "time and place" when avaiable funds and opportunity met.
 
Portfolio backtester provides some additional useful functions / controls.
- PositionScore: Allows you to prioritize selection. Example: Say you are buying stocks with a rising stochastic. You would of course prefer stock that have the lowest value of stochastic. You can specify a range of course, but PositionScore can pick the issue with the lowest stochastic value within the permissable range.
 
- It also provides you valid data of drawdowns and other statistics that would not be as accurate or even possible with individual backtest.
 
- Further, advanced backtest has some additional features such as scale-in, scale-out etc...
 
While individual backtest may provide some info by testing every issue, I don't think that you will miss any significant insight if you switch to portfolio testing.
 
Stock Selection for actual trading would still be done from an exploration, so the fundamental process of trading does not change, but the information provided by portfolio level is better and simulation is more realistic.
 
 
 
 
----- Original Message -----
Sent: Friday, April 28, 2006 3:29 PM
Subject: Re: [amibroker] Portfolio Backtester

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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