Index Equity

[RobGiles]

How do you generate a portfolio equity graph for the index or stock universe you are testing your system on (like the one produced by the backtester report when testing a system)?

[TrentRothall]

Rob Giles wrote:

How do you generate a portfolio equity graph for the index or stock universe you are testing your system on (like the one produced by the backtester report when testing a system)?

Hi Rob

I use this code.

Most of it is just our generic positions/ backtest code but i am pretty sure it’s correct.

You just select the date range and in another window hve the symbol you want to test. then test.

You can add to it fairly easily if you want a better way to select the symbol etc. it’s super basic.. others probably have a better way

Code:

_SECTION_BEGIN(“Back Testing”);
//=======================================================================================
//Back Testing
//=======================================================================================
SetTradeDelays(0,0,0,0);
SetOption(“UsePrevBarEquityForPosSizing”,True);
Capital = Param(“Initial Equity $”,100000,1000,10000000,100);
SetOption(“InitialEquity”,Capital);
MaxPos = Param(“Maxium Open Positions”,2,1,100,1);
SetOption(“MaxOpenPositions”,MaxPos);
//SetOption(“AllowSamebarExit”,False);
SetOption(“AllowPositionShrinking”,False);
SetOption(“InterestRate”,0);
SetOption(“MinShares”,1);
SetOption(“MinPosValue”,1);
SetOption(“CommissionMode”,0);
SetOption(“CommissionAmount”,0);
SetOption(“AccountMargin”,100);
//SetOption(“ReverseSignalForcesExit”,False);
//SetOption(“MaxOpenLong”,0);
//SetOption(“MaxOpenShort”,0);
PositionScore = mtRandom();
//—————————————————————————————
“”;
“Posiion Sizing Method – “;
PosSizeMethod = ParamList(“Postion Size Method”,”Fixed Fraction %|Fixed $ Risk Amount|Fixed $ Total Position Size|Fixed % of Portfolio Equity”,3);

//Fixed $ Position Size
FDAmount = Param(“Fixed $ Total Position Size”,5000,100,1000000,1);
//Fixed % of Equity
FPAmnt = Param(“Fixed % of Portfolio Equity”,100,1,100,1);

if(PosSizeMethod == “Fixed $ Total Position Size”) SetPositionSize(FDAmount,spsValue);
if(PosSizeMethod == “Fixed % of Portfolio Equity”) SetPositionSize(FPAmnt,spsPercentOfEquity);
//===========================================================================================
_SECTION_END();

Buy = True;
Sell = False;

[KateMoloney]

Thanks for sharing Trent.

I’ve referred to a number of your codes that you’ve posted on this forum.

[Author]

Posts