TradeStation Portfolio Maestro

Backtesting Portfolios

There are two types of backtesting that can be performed in Portfolio Maestro: Standard and Optimization. By default, the backtest type is set to Standard.

• Standard - Uses the strategy inputs and ranking values as set in the strategy group.
• Optimization - Runs multiple tests by varying specified strategy input and ranking values over a defined range.  The Min and Max setting determines the range of values to test and the Step setting determines how much to increment the value for each test.

• Exhaustive - Tests every possible combination of strategy input and ranking values that are set to vary.  

• Genetic - Uses a genetic algorithm to minimize the total number of tests required to produce a statistically valid backtest.

 Refer to # Input Combinations in the lower portion of Backtest Portfolio window to review the number of tests are scheduled to be performed based on your current backtest settings.

Performing a Backtest

Select one of the following for a list of steps for a specific backtest type:

Backtest a Portfolio using Standard

Backtest a Portfolio using Optimization

Backtesting Speed Considerations

The following parameters are primary contributors to the time of the test and the size of the database required. These parameters can be adjusted in combination to achieve a valid study outcome without running into huge time required or database size limitations. As a rule of thumb, think in terms of total number of bars required. That will be based on:

(# of intervals per day) * (# days in history) * (# of symbols) * (# of input combinations)

Example

In the example above for the 10-min data # of intervals per day = 39 (390 minutes during a normal trading day), # days in history = 2500 (assuming 250 trading days per year), # of symbols = 100 and # of input combinations = 1000. Therefore, the total number of bars required is equal to 390*2500*100*1000 = 97,500,000,000.