PRT Platform – What is Your No1 Improvement?

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Viewing 9 posts - 16 through 24 (of 24 total)
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  • 08/18/2023 at 11:23 AM #219292
    GraHal

    justisan I slept on it and I get why you want it … backtest as a portfolio and then we know (in advance) how our portfolio might perform as a whole.

    We may then be better able to prevent overall performance lurching from ‘boom to bust’ !

    08/18/2023 at 12:51 PM #219293
    justisan

    exactly, GraHal.

    you maybe agree that it makes lot of sense to run several different strategies, but every strategy “consumes” margin, so I ask myself – what is the benefit of adding each particular strategy to the strategy portfolio. if it doubles profits but at the same time doubles the drawdowns of portfolio, then maybe it’s not worth adding even if being in general profitable strategy. it also may be that both are worth running but position sizing needs to be adjusted, outcome of that being that another strategy is adding to profits but not increasing total drawdowns, or increasing drawdowns proportionally less than increasing profits. a lot of interesting and challanging questions arise when one runs >1 strategy, and I have found some way to use single strategy backtesting performance statistics provided by PRT to make portoflio analysis which I want, but my analysis gives me only very approximate picture (better than nothing…), therefore I would wish to have precise portoflio statistics by PRT. in fact few months ago I was even writing directly to PRT regarding same topic.

    somwhere in this forum I was reading that you have >20 automated strategies running, if that is still the case of course I would be curious to hear how you decide which strategies to run, which not (even if generally profitable), and how you decide which size each strategy in the portfolio should run.

    regards

    justisan

     

    08/18/2023 at 2:37 PM #219299
    GraHal

    I agree, due to the lack of portfolio analysis tools on the PRT Platform, I am forced to run my Systems ‘blind and hope for the best’ … a sad and frustrating experience!

    08/29/2023 at 4:46 PM #220019
    justisan

    hi GraHal,

    back from short holidays… and just wanted to share how I do “portfolio analysis”, maybe it will be some inspiration for you or others in the forum. I really cannot understand why PRT does not have some cool and simple tool for that after so many years of existance, I mean such tool is essential, since it is not realistic that folks trading automated trade only one system.

    so, I use the PRT’s “performance calendar” (attached) which you probably know very well, with % result of the backtest per year per month. I am running backtests for all available data and all systems, then simply copying “performance calendar” of each into excel, reformating a bit, and then counting 😀 e.g.:

    • what is the total % profit/loss per month/every month of all systems in “portfolio”? and especially what is the maximum %loss?
    • does particular/additional system reduce/increase number of negative/positive months in the whole backtest period? and by how much?
    • what happens to the total results if I increase/decrease position size of particular system?

    etc.. one can “play” arround a lot with that data, but I do not do any rocket science with that – the numbers are anyway only rough indication, yet better than nothing. it helped me a lot, especially for calibration of position sizes for each system. it led defintely to the conclusion that I generally need to reduce positions, and strange enough I figured out that I need to trade on the short side approximately half big compared to the long side when it comes to equity index trading.

    I need to add here also, that my position sizing is based on fixed max % risk of equity per trade. and for backtesting I need to write a code which adapts equity each month based on the result of each month. only then numbers in the “performance calendar” make sense for me. and then one can compare/analize portfolio of whatever number of systems, whatever instrument mix and whatever timeframes.

    regards

    justisan

    1 user thanked author for this post.
    avatar GraHal
    08/29/2023 at 6:27 PM #220027
    GraHal
    justisan wrote:

    I use the PRT’s “performance calendar” (attached)

    Thank You for explanation, but no attachment shows.

    08/29/2023 at 7:09 PM #220029
    justisan

    strange, I am sure I selected the file for upload. I am trying now different format.

    08/29/2023 at 7:12 PM #220032
    justisan

    🙁 again attachmend of the picture failed. any trick necessary? I am “selecting file” and “submit”. what else needs to be done? size of the file is only 137kb so that is not the issue.

    1 user thanked author for this post.
    avatar GraHal
    08/29/2023 at 7:14 PM #220034
    justisan

    even more strange… in the last message I did NOT attache any file, but the file from message before appearing 😀

    09/13/2023 at 5:26 PM #220979
    paisantrader

    I don’t require much, all I want is for it to not behave like Windows 3.11!

    • Auto save when you are working in the code editor.
    • If PRT crashes or you forget to close PRT when you close your computer (then it crashes 90% of the time), please don’t delete my strategy I’ve worked on for a whole day and then force me to deal with PRT support in order to get the file back.. which has never worked a single time any way.

    That’s it. Thank you 🫡

    1 user thanked author for this post.
    avatar PeterSt
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