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Portfolio manager

Portfolio manager

Portfolio manager is used for compilation of trade portfolio of tested pairs.

Portfolio settings

Item Description
Pairs selection Pairs that creates the portfolio are selected in Pairs table.
Max. positions It sets a maximum of simultaneously opened positions. There will never be more positions opened during portfolio backtesting than it is currently set.
Table of trades Table of trades shows all trades within the portfolio. Meaning of individual columns
Item Description
Opened positions Number of currently opened trades including trades at the current line
Stock A Stock A symbol
Stock B Stock B symbol
Entry Date of trade opening
Exit Date of trade exit
P/L of a trade Profit / Loss of a trade
Portfolio chart

Black curve displays net profit / loss of portfolio (commissions are included in the profit of each trade by default)

Green histogram in the lower half of the chart displays number of actually opened positions

Notes:

Portfolio manager simulates all rules applied at online trading:
  • Limit of number of opened positions - new positions will not be opened, until a free “slot” is available for them (some of previous trades must be closed first)
  • Blocking of crossed pairs - pair, for which one stock is available in currently opened trade is considered as “crossed pair”. Crossed pair is blocked, until the “crossed” trade is closed.
    Example: Let’s have a portfolio with pairs A-B, B-C. Pairs are crossed, since both contains stock “B”. If a pair A-B will enter a position, the pair B-C is blocked till the position A-B is closed.
  • Classification of pairs according to the Fitness function - if more pairs than free slots are available to enter the position (until reaching the limit of opened positions), pairs are sorted according to the “RelStDev” value. Positions with higher absolute value of “RelStDev” are opened preferably.