test equity curve trading system

Research
1

Hi all,
looking for some help. I am looking to test an equity curve trading system. I can sell based on a #equity rule but once I am out of the system the equity curve goes flat so there will be no trigger to re-enter the system. What I would like to do is base my reentry rule on another shadow portfolio’s equity. Does anyone know of a way to create an entry rule based on on another portfolio’s equity?
Any help is appreciated,
Brian

2

I’ve not tried this, but perhaps:

  • Run a version of your model without equity curve timing and export results to excel.
  • Using excel, find the inflection points in the equity curve, noting the dates of when you’d go in or out.
  • For each date, calculate (in excel) the number of bars since inception.
  • Then build up a set of buy rules to only get back when you’re in the right date range (using PortBars())

If you’ve only got a dozen or so entry points it’s probably not too bad.

3

Hi Darcy,
thanks for the possible work around. I was hoping that there was a way to use something like Portfolio(“Shadow”, #equity).The reason I am trying to do this is that I noticed different Portfolio’s (as part of a Book) tend to trend for long periods of time and then other Portfolio’s will do so.

4

Yeah, that would be nice. I work with a forex trading platform that supports “phantom” trades, which are opened and tracked virtually. You can then use the aggregate results of those trades to open or close real positions. It’s a great feature.

Perhaps another way to approximate this is with a custom series tracking the aggregate performance of a subset of your Universe. Defining the subset would be the tricky part. Maybe multiple frank statements with some of your more heavily weighted factors…

5

Yes that might be possible although difficult(at least for me) to get close enough to have confidence in it, but I like the way your mind works. I may make a feature request as I would think there are others that would benefit from this.

6

For a quick and dirty equity timer, add the following buy rule:

PortBars<20 or Close(0,#Equity) >= sma(20,0,#Equity)

The “sitting out” time is forced to be at least as long as the moving average sample length, though…

7

Thanks Sglinski ,
I will test that. One other work around I have found helpful is buy rule: close(0,#bench)>ema(x,0,#bench) or close(0,#equity)>ema(y,0,#equity) . This gets me out when my equity curve goes down but gets me back in when the market turns back up. You can play with x and y values depending on your system.