TesterPortfolio – absolutely accurate analysis of equity, drawdown, MAE / MFE…
4 replies
fxsaber
4 years ago #255195
Hey.
I wrote a free open source utility for analyzing trading portfolios. After that I found out about your product and now I am studying it. Thanks.
My program allows you to do absolutely accurate analysis of equity, drawdown, MAE / MFE, etc.
If it is a good addition, I will be glad.
Mark Fric
4 years ago #255200
Thanks for that, how exactly does it work?
I don’t remember the inner workings of MT5 and I never worked with .tst files, what exactly do they contain?
If it is “only” a list of trades, how you can accurately simmulate the exact drawdown of trading the strategy on multiple symbols ?
I mean without simmulating ticks on all symbols in parallel, the result will be not real simulation of portfolio trading. It will be something similar to how we merge multiple strategies into portfolio in SQ X, right?
Mark
StrategyQuant architect
fxsaber
4 years ago #255201
The tst file is the tester’s single pass cache.
TesterPortfolio makes a full single pass through real ticks in parallel across all trading systems in the portfolio. This is an honest backtest.
Attached the file so that you can reproduce the work of TesterPortfolio and import reports into your product.
fxsaber
4 years ago #255290
fxsaber
4 years ago #255424
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