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PRT Suggestions - backtesting and automation enhancement


Guest Stef

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Hi All,

 

Some additional features that would be a welcome addition to PRT...

 

1) Walkforward testing. Problem with backtesting strategies is the optimization of variables specific to the testing period. Without the ability to walkforward (test a period for which the strategy was not optimised), it is easy to create systems that tests well, but trade poorly in real life. Though it is possible to do walkforwarding manually, it is very time consuming and error prone.

 

Most decent testing platforms support this feature.

 

2) Look-Inside-Bar Back-testing.  Currently, if you have a stop and a limit, PRT does not have the ability to determine which is triggered first, if both are triggered within the same bar when backtesting. LIB solves this problem. Platforms such as Tradestation provides this type of functionality.

 

3) Disabling variables. This is just annoying and a huge time waster. Before you can enable a system for auto trading, you have to remove all the variables that you created when backtesting. But then, when you decide to do some more testing, you have to recreate all the variables again from scratch; including name, min, max, and step value. Do this a couple of times and you realise this is not the best way.

 

4) Margins. Used to be there, and now is gone. %Gain (and capital needed to trade a system) is not correct if margin is not taken into account.

 

I've posted previously about some other enhancements that I believe are currently lacking - such as being able to create test templates; where the initial capital, date ranges, spreads, commissions, etc. can be specified once and then used for testing multiple strategies, etc.

 

I would appreciate some comments and additional suggestions.

 

Regards

Stef

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Number 2 is important, and maybe some kind of warning should be in place when starting the backtest?

 

about number 1 i am not sure if this helps but you can choose date and time when optimize a backtest, you can optimize 2015-01-01 - 2016-01-01 and then run the backtest from 2016-01-01 to 2016-03-17

 

about number 3 you can duplicate the system with variables and then only change the system you run in proorder

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.

 

2 - That is exactly how I do the walkforwards currently. Would just be so much quicker and easier if this was a feature of the product.
3 - True. Again, I feel this should be a feature. If you have to duplicate each system you end up needing to maintain both sets. Over time they can easily get out of sync.

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