Basket Trading

• 08/01/2017 at 8:14 AM #42153
  Qw3rty

  Hi,

  Does PRT allow for basket backtesting/trading? i.e. Backtest against multiple different stocks as a collection?

  I would like to test and see an overall strategy drawdown and profit instead of each instrument in isolation.

  Many Thanks

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  Qw3rty

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  08/01/2017 at 8:56 AM #42160
  Fibotrend

  Hi Qw3rty,

  I have pretty much the same question.

  I was also wondering how does ProOrder compare with MT4 EA as a Trade Manager. For example is it able to manage trades in a strategy such as Automatic Loss Recovery or Double in a Day model?

  Really appreciate your help.

  Cheers

  

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  08/04/2017 at 7:49 AM #42461
  Qw3rty

  Any Ideas?

  

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  08/12/2017 at 10:49 PM #43100
  mikenew

  I’ve been looking for the same on this thread:

  https://www.prorealcode.com/topic/backtesting-over-a-portfolio-of-markets/

  Seems like PRT does not have this functionality.

  I’m wondering how to do it with Excel (or similar) and especially how to automate this.

  Any ideas?

  Happy to collaborate on solutions!

   

   

  

  mikenew

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  08/12/2017 at 11:27 PM #43101
  Despair

  It says future versions of PRT might have this ability. For now it is not possible. 🙁

   

  

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  08/13/2017 at 3:03 AM #43102
  Qw3rty

  I know of another software suite that does this but don’t think I can mention it on here. Busy looking into it.

  I am sure you can do something like this in Excel (thinking about this myself) it would just require a lot of checking to ensure the figures and returns are accurate

  

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  08/13/2017 at 3:52 AM #43103
  mikenew

  Ah yes .. I’m thinking, not of reproducing the strategy in excel,  but copying the results from PRT into Excel then collating them into a portfolio report.

  I can see that the results can be printed but can’t see how to export in an excel format…..

  

  mikenew

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  08/13/2017 at 12:41 PM #43112
  Despair

  Try drag’n drop. This works.

  

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  08/14/2017 at 12:29 AM #43128
  mikenew

  Great thanks …. then a lot of work in excel to produce the market statistics and collate into a portfolio …

  worth it though

  

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  08/14/2017 at 5:04 PM #43167
  Nicolas

  Multi instruments is coming, don’t worry. Still not have tried it myself, but I’ll be able very soon to report you about how it goes (private beta). I must warn you about the fact that multi instrument will not allow to trade multiple securities with the same strategy. But we’ll be able to compare an instrument with any other one (just like ProScreener, but not with that annoying “group” restriction..). So create ‘portfolio’ should be now possible.. (if instruments A and B are not trending, then buy instrument C, etc…). But hold on until I get my hands on this 🙂

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  08/14/2017 at 10:25 PM #43178
  mikenew

  That’s great Nicolas … Still it’s the portfolio analysis of a single strategy that is key for me …. Is that on the product roadmap? If so do you know when?

  

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  08/15/2017 at 2:18 PM #43202
  Nicolas

  As far as I know, no portfolio analysis is currently developed. You’ll have to make your own with that old friend called “Excel” 😉

  

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  08/15/2017 at 10:35 PM #43228
  mikenew

  Thanks Nicolas – I’m looking at coding something in Python using PyFolio .. https://github.com/quantopian/pyfolio

  So maybe transfer the order history from PRT into excel then load into PyFolio … then it may become easier just to do it all in Python.

  

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  08/16/2017 at 10:48 AM #43247
  Nicolas

  Why not, this is a good idea, but you’ll have to adapt first the exported sheets or CSV files from Probacktest into a comprehensive data series for that Python library. Do you have example of how data series should look?

  

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  08/17/2017 at 1:19 AM #43301
  mikenew

  I haven’t had a good look yet but I believe it will handle MS4 formats …. won’t be hard to reformat … the boring bit will be the export from PRT as far as I can tell there is no way to automate it in PRT … so manually choose market, run the backtest, drag into excel and repeat …

  

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