Backtest Portfolio - Optimization

To backtest a portfolio using Optimization (Exhaustive or Genetic Algorithm):

  1. Click the Manage Portfolios icon from the Shortcut Bar.
  2. Select the name of the portfolio to backtest from the Name column of the Selections panel.
  3. Click the Backtest Portfolio button. The Backtest Portfolio [portfolio name] dialog is displayed.
  4. From the Settings tab:
    • In the Report Name box, enter the name you want to save the report. If a report name has already been used, you can overwrite the existing report by selecting it from the drop-down list.
    • In the Initial Capital field, enter the amount of capital to use at the start of the backtest.
    • Enter or select the Last Date to specify the ending date for the backtest
    • Specify the starting point for the backtest as either the [ ] number of (days,weeks,month,years) back from the Last Date or a specify the actual First Date to test.
    • Select Optimization from the Backtest Type drop-down list. See Backtesting Portfolios for more information.
      • Select Exhaustive to run an exhaustive optimization on all input combinations.  

or

      • Select Genetic Algorithm to run a genetic optimization.
    • If Exhaustive was selected, you can check the Save Full Details for each Iteration of Optimization setting to save the detailed results for each combination of test.
    • If Genetic was selected, use the Optimization Criteria drop-down list to select the value to optimize. Then, modify the Initial Population Size, Maximum Generations, and Save Best parameters as desired.
  1. From the Strategy Inputs tab, enter the Min, Max, and Step values to use for strategy inputs in this backtest. After the adjustments the screen will update the number of input combinations for the backtest.
  2. From the Ranking tab, enter the Min, Max, and Step values to use for the ranking strategy inputs in this backtest.
  3. 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.
  1. Click the Perform Backtest button to start backtesting the selected portfolio and settings. The Executing Backtest progress bar will appear to let you know that the backtest is running.