Backtesting over a portfolio of markets

mikenew · 2017-08-12T06:23:45+00:00

Hi, I have a dozen markets in a portfolio that I want to trade a single strategy over. How can I backtest the whole portfolio and get a portfolio and market by market backtesting report? Is there any way to do this in PRT Code? or do I need to run the back test on each market individually then put them into Excel to produce the portfolio report? Suggestions?

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08/12/2017 at 7:23 AM #43056 quote

mikenew
Participant

Junior

Hi,

I have a dozen markets in a portfolio that I want to trade a single strategy over.

How can I backtest the whole portfolio and get a portfolio and market by market backtesting report?

Is there any way to do this in PRT Code? or do I need to run the back test on each market individually then put them into Excel to produce the portfolio report?

Suggestions?

08/12/2017 at 12:02 PM #43071 quote

Despair
Blocked

Master

I was looking for the same and did not find any option. I think so far it is not possible to test a whole portfolio in PRT and one will have to test each asset on its own like you describe.

10/01/2017 at 11:04 AM #47909 quote

stockshark
Participant

New

I have emailed ProRealTime two times and ask if/when they will introduce backtesting on complete portfolio.

But they haven’t replied yet.

Does anyone know if ProRealTime plans to make this possible?

If not, how do you handle the backtesting in ProRealTime? Do you backtest each stock one by one, and then summarize the results in some way?

How’s that one in that case?

Cheers

10/01/2017 at 11:53 AM #47912 quote

Derek
Participant

Veteran

What about exporting the different backtest results into a spreadsheet and consolidating the data there?

PRT has no function to do this more elegant.
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