Portfolio Analyzer: Portfolio Back Testing
Back Testing and Equity Management on a Portfolio of Instruments
The possibility of Back Testing of equity management strategies on a portfolio of instruments in one of the main functions performed by RealTime PortfolioAnalyzer. For this purpose TS.Portfolio.Get.His function is used.
Depending on a parameter’s value (from1 till 6) TS.Portfolio.Get.His function will return the following
values:
TS.Portfolio.Get.His(1) - Portfolio Equity
TS.Portfolio.Get.His(2) - Portfolio Net Profit
TS.Portfolio.Get.His(3) - Portfolio Open Profit
TS.Portfolio.Get.His(4) - Portfolio Risk
TS.Portfolio.Get.His(5) - Portfolio Assured Profit
TS.Portfolio.Get.His(6) - Portfolio Volatility
It is possible to set custom back testing range. For this purpose it is necessary to activate windows for start and final dates’ indication by putting a tick in Range of Dates. If Range of Dates is not indicated testing is carried out on the whole history basis received from TradeStation. Further select Set History from the Action menu or click the following pictogram: . Hereby array of portfolio parameters will be saved. For using them in TradeStation it is necessary to set TS.Portfolio.Get.His
function call in signals’ or indicators’ codes, as follows:
Thus, for proper functioning of portfolio back testing in TradeStation it is necessary:
- To indicate TS.Portfolio.Get.His and TS.Portfolio.Get.His functions’ call in EasyLanguage codes corresponding signals;
- To open corresponding TradeStation Charts and to apply necessary strategies to them in which functions’ call is addressed for operating a portfolio;
- To launch Real Time Portfolio Analyzer and to create a corresponding portfolio;
- To select Set History command;
- To launch Workspase in TradeStation (if only one strategy is used in a portfolio, you can launch Workspase using Verify command or by pressing F3 key in EasyLanguage PowerEditor);
- To select Calculate from the Action menu or to click the pictogram
 .
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