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TesterPortfolio – absolutely accurate analysis of equity, drawdown, MAE / MFE…

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fxsaber

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1 year 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.

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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1 year 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

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fxsaber

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1 year 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.

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fxsaber

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1 year ago #255290

 

 

 

Details.

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fxsaber

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1 year ago #255424

Improved this toolkit.

Now you can easily carry out walk-forward optimization for any expert advisors, even with closed source code (Market).

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