TradeStation Portfolio Maestro

Backtest Portfolio - Walk-Forward

To backtest a portfolio using Walk Forward Analysis:

1. Click the Manage Portfolios icon from the Shortcut Bar.
2. Select the desired portfolio to backtest from the Selections panel.
3. Click the Backtest Portfolio button. The Backtest Portfolio [portfolio name] dialog is displayed.
4. From the Settings tab:
• Enter the desired report name to be used in which the results will be saved to in the Report Name box. If a report name has already been used, you can overwrite the existing report by selecting it from the drop-down list.
• Enter the desired amount required in the Initial Capital field.
• Select the desired date range from the Date Range drop-down list.
• Enter or select the desired start and/or end date in the From/To drop-down lists.
• Select Walk Forward from the Backtest Type drop-down list.  See Backtesting Portfolios for more information.
5. From the Walk-Forward Options:
• Select the desired criteria type (Net Profit, Average Trade, Profit Factor and Sharpe Ratio) from the Optimization Criteria drop-down list.
• Enter the desired number of days to backtest the portfolio in the Backtest Period (days) box.
• Enter the desired number of days for the fixed holding period beginning at the completion of the backtest period (Backtest Period (days)) in the Execution Period (days) box.

6. From the Costs & Quantity tab:

1. Enter the Order Quantity amount and if it represents Fixed Shares or Fixed Dollars.  Edit the Round down and Minimum number shares if desired.
2. Enter an amount for Commissions and select whether it will be applied per Share and/or per Trade.
3. Enter an amount for Slippage and how it will be applied.

7. From the Strategy Inputs tab, enter the desired values for which the walk-forward analysis should be performed in the Min, Max, and Step columns. After the adjustments the screen update the number of input combinations for the backtest.
8. From the Ranking tab, enter the desired values for which the optimization should be performed in the Min, Max, and Step columns. After the adjustments the screen will update the number of input combinations for the backtest.
9. From the Symbols tab:

• Select the Exclude check box for a symbol to prevent it from being used in this backtest. To exclude all symbols, click the Exclude All Instruments button.
• Select the Create Chart check box to create a chart for this symbol during the backtest. To create charts for all symbols, click the Create All Charts button.

10. Click the Perform Backtest button to start backtesting the selected portfolio.

To view the results, select Analysis from the Shortcut Bar, select the Walk Forward Analysis icon, and click the Walk Forward tab.

 For more information see Backtesting Portfolios - Walk Forward .