I would like to export the capital curve of a backtest to enable me to perform eg MC simulations on the backtest. Does anyone have a suggestion for how I could extract the values for the capital curve from PRT?
Ideally it would be a csv-file with values for each date.
Thanks for any ideas!
@Nicolas
Thank you for your response! After having reviewed the links you posted, I cannot see that any of them detail exporting the actual capital curve, ie. one value for each date. Or is there something I am missing here?
Kind regards,
Fredrik
Right, because this is not available in the backtest result window, but you can easily compute it into Excel with a simple formula in each cell:
Capital curve = capital at start + PnL
Thank you for your suggestion! Please excuse if I am not understanding this right, but if I employ your method, I suspect that I will not get a proper idea of portfolio risk as the capital curve will only reflect the results of closed positions, not the variation in PnL due to open positions, right? To compute eg diversification benefits resulting from combining one system with another, one only gets half the picture with your proposed method. Or do I misunderstand you?
So you want the software to export a table with rows that contain |bar date|live equity| ?
Assuming that the backtest is made on a 200k bars history, the table would be 200.000 rows long?
ProBacktest isn’t populating this kind of table, you’ll have to make it by yourself in Excel.
Yes, that is exactly what I was hoping to be able to export from PRT. As PRT has very limited risk assessment tools for individual systems and lacks all ability to assess risk on a portfolio of systems, this needs to be done manually or in a separate system. The challenge, however, is that even though PRT calculates the required raw data, the data is not exportable. And to recreate the capital curve in Excel as you suggest, is impossible without complementing the exportable data with price data and building ones’s own pricing engine (a redundant operation, given PRT already does it). Therefore the reason for wanting to export the capital curve as such. As I haven’t managed to figure out a way to achieve that, I was hoping that a member of the forum had perhaps found a way to export the capital curve raw data.
PS As a sidenote: I can understand why PRT is unable to offer the functionality (openly) as it would open up ability to export historical price series, which likely have been licensed to PRT without right to redistribute.
