Portfolio back testing benefits
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Portfolio BacktestingR ather than simply perform iterative backtesting for each symbol in a portfolio (often called basket backtesting), Seer uses event based backtesting resulting in true portfolio backtesting. With true portfolio backtesting Seer (and indeed your running logic) is aware of the cash balances and the value of all positions within the account at any time.
Trading a portfolio of symbols against a single trading system solves two common problems:A single symbol trading system might not produce enough trades for the result to be statistically meaningful. A single symbol trading system might trade infrequently or in bursts, resulting in long periods of trading inactivity, followed by many signals.
Seer makes it easy to do portfolio back testing - simply add the symbols to the portfolio that's associated with the trading system!
Seer will backtest and optimize multiple symbols in a single pass ensuring you have the most realistic trading results possible. The Seer engine will cope with pyramiding into and out of positions,missing data, trading system variables, mixing of asset types, and other issues associated with portfolio backtesting including the effect on your account cash balances as multiple orders are placed on the same bar.
Once a trading system with multiple symbols has been backtested you'll be able to view charts with the trades plotted as well as view results broken down by symbol. Changing between symbols is easy, select the symbol from the drop down list or just use the arrow keys!
Seer also includes for special support for Forex backtesting and includes full multi-currency backtesting and the ability to filter, rank and sort symbols dynamically during the backtest.
Event Based Backtesting
Unlike many platforms, Seer uses events as the basis for its back testing methodology. An event is something that happens in the real world such as a tick arriving, the construction of a price bar or an order filling. When back testing, these events are responded to by your system resulting in realistic and fast back testing.
Event based back testing has several key advantages over array based back testing:
Real world modeling. As events are dynamic in nature, you'll have full script access to cash balances, active orders, positions and trade history regardless of time frame and number of symbols during the backtest.
Context aware programming. As an event is a response to something, Seer is able to reduce the amount of coding that you'll need to write as all functions are aware of their calling context.
Simple deployment for automatic trading. As a trading system is based upon the real world, a single click is all that is needed to deploy a trading system against a broker/real-time datafeed.
Low latency when automatic trading. The computation distance from receiving, processing and firing events is extremely short allowing you to respond quickly to changes within the market
What is Backtesting?Backtesting is a methodology for testing a trading system using historical price data to simulate actual trading. Backtesting can't predict the future but it will allow the testing of trading systems to see performance characteristics under various (historical) market conditions. Once a system has been thoroughly backtested a trading system should then be paper traded against a live data feed to ensure that it performs as expected.
True, event based portfolio backtesting.