Backtester (Trader Services) Limitation conundrum

Optuma Desktop
1

Hi,

After having paid for a Lifetime subscription to Trader Services, I now have a back testing conundrum. Due to the limitations of (Single code testing only) the back tester I am unable to back test at the portfolio Level. I would like to be able to test up to 20 (or more) codes as a portfolio using a fairly simple Trend Following Strategy. Having attempted this using the current back tester, on multiple code setting, and examining the trade list; it appears that the system is only returning a sampling of the total trades for each code. This presents the obvious problem of the back test results being inaccurate.

Darren has alluded to more functionality (Long / Short testing etc.) being coded into the Web Version to be released later this year. So… I guess my ultimate question is, is there a solution to my problem? Two things occurred to me (1) possibility of adding the additional back test functionality to my version of Trader Services or (2) Waiting for the Web Version that may or may not solve the problem. I’m hopeful that you folks can present a solution without me having to upgrade to Professional Services as I’m just one guy trading my own account.

Thanks for all you folks do.

Drew

P.S. It’s interesting that testing the portfolio on the Signal Tester appears to return all of the Signals for all of the Codes.

2

Hi Drew,

I believe that this is expected behaviour from the Backtester.

When we use the Signal Tester, we test every instance of the signal with no consideration to capital requirements or maximum holdings etc. Under a Signal Test, we could have hundreds of signals in a single security. The value of this is that it tells us the suitability of the Signal to capture a potential trade.

In a Backtest, we are adding in many other rules:

  • Starting Capital
  • Position Size
  • Max Positions in the portfolio
  • Stops
  • etc

Each of those rules affects our ability to take trades. ie. If a signal occurs, the first thing we need to do is determine if we have enough cash left to take the trade. Or, do we already have a position in that security and do we allow Pyrammiding?

This is why a BackTest will never capture all the trades that a Signal Test shows. When you run a BackTest on a single security, you will get more trades because the capital has not been allocated to other securities.

In Short, the BackTester is working as expected, and there are no issues with it in this scenario. The known issues with it are in Short Tests (which are disabled by default), and a number of new features that we are working on.

Hope that helps