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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: simulation error?/ backtest error? |
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Total posts in this thread: 16
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marco
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Finally take a look at the % cash invested in sims. It never quite reaches 100% due to the position sizing algorithm. By the time it gets to the last position it can't quite get to 100%. It probably needs to be recursive and try a few iterations to use up all the cash. At the moment it only does one pass. since it doesn't know if there will be enough positions that pass the buy restrictions it can't be optimal on the first pass. The screen assumes 100% of the cash invested ---------------------------------------- 
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chris319
Advanced Member
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Marco - I still can't get the simulation to match the backtest anywhere near as closely as you have. I have made my version of the simulation public if you want to look at it. The simulation doesn't allow me to select an integer number of stocks each period. The backtester allows exactly 15 stocks, whereas it's 15.2 stocks in the simulator. In spite of this, my simulation shows 6 stocks being held rather than 15. The only modification I have made to the backtest is to set slippage to 0. ---------------------------------------- [Edit 1 times, last edit by chris319 at Dec 5, 2011 10:59:16 PM] |
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marco
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Chris, you can't use $100 as the starting capital. Teh simulator buys whole shares. Try $100,000 ---------------------------------------- Portfolio123 Staff |
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chris319
Advanced Member
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Bumping this thread. Back to the same quandary: a screen "backtest" gives an annualized return of 54.86%. The same screen "simulation" gives an annualized return of 112.89%. The test period is from 12/11/07 to 12/11/12. These are just too far apart to be due to differences in transaction costs (all transaction costs are set to zero) or not having enough starting capital. I see this and conlcude that I cannot trust Portfolio123. |
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marco
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You have 'Long Weight%' set to 50%. You are basically investing 1/2 the $. With 100% the screen returns 112.44% ---------------------------------------- Portfolio123 Staff |
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chris319
Advanced Member
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Ah, OK. I had taken "Long Weight" to mean the sizing of each position, which on the simulator is 50%. Does that mean if the "Long Weight" is over 100% it simulates margin trading? Thanks Marco. ---------------------------------------- [Edit 1 times, last edit by chris319 at Dec 18, 2012 12:03:27 AM] |
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