Backtesting: Percentage values in scale of equity curve?
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When backtesting in PRT, is it possible to change the scale of the equity curve from total equity to percentage values? Either current equity as a percentage of initial equity, or current equity as the change in percentage of the initial equity.
I’m using PRT v10.3 – 1.8.0_43 in demo mode.
Having tried out the idea it is a little more complicated than it first seems as you would need to run a virtual strategy in the indicator on the equity curve to simulate returns. Far easier is to just add this to the bottom of your strategy and then graph the percentages in their own window. It records the lowest % of start equity in the equity curve as well as the maximum % of start equity along with the running % of start equity.
Change startequity to match your starting capital value.
startequity = 10000 Perc = (strategyprofit / startequity) * 100 maxperc = max(maxperc,perc) minperc = min(minperc,perc) graph Perc as "Gain/Loss % of Start Equity" graph maxperc as "Max % Gain/Loss of start equity" graph minperc as "Min % Gain/Loss of start equity"vaku thanked this postThanks a lot! I tested to insert your code in the bottom of my strategy. Before that I had also tweaked my code so that I would use the max amount of available capital on the account for each buy. Seems like your code doesn’t change the graph until the sell. I’m not sure why though. I might have to sleep on it to figure out why the curves are different.
You can see the result in the first figure. What I’m trying to implement is something like you see in the second figure. The two bottom curves are the price development in the stock (actually an index) in percent as well as the MA(12) indicator. The top curve is the development of the account in percent, if I’m fully invested during uptrends and not invested during downtrends.
// Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated InitCapital = 10000 Equity = InitCapital + StrategyProfit NrOfShares = Round(Equity/close - 0.5) // Round down to integer below // Conditions to enter long positions indicator1 = Average[12](close) c1 = (close > indicator1) IF c1 THEN BUY NrOfShares SHARES AT MARKET ENDIF // Conditions to exit long positions indicator2 = Average[12](close) c2 = (close < indicator2) IF c2 THEN SELL AT MARKET ENDIF // Graph the Gain/Loss % of Start Equity startequity = 10000 Perc = (strategyprofit / startequity) * 100 maxperc = max(maxperc,perc) minperc = min(minperc,perc) graph Perc as "Gain/Loss % of Start Equity" graph maxperc as "Max % Gain/Loss of start equity" graph minperc as "Min % Gain/Loss of start equity"
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 07/24/2019 |
| Status: | Active |
| Attachments: | 4 files |
