Setting up a Multi-Symbol Backtest with more than
Author: lightspeedbiker
Creation Date: 5/6/2009 10:10 PM
profile picture

lightspeedbiker

#1
I'd like to setup a Multi-Symbol Backtest with more than a single position size.

I have a four ETF backtest running with a single fixed dollar position, $5000 in Raw
Profit mode. This works fine.

I'd like to now run a backtest with the four ETF positions to "non-equal" ratios
EFT1 40%
EFT2 20%
EFT3 10%
EFT4 10%

The current backtest I have running has each ETF at 25%

Can this be done?

Or do I need to create four separate backtests with each one using the desired position size
This makes four performance summaries, I'd like to see a single summary for the Multi-Symbol backtest

thanks

profile picture

Eugene

#2
Currently it's not possible, we all are patiently waiting when the developers reintroduce the so-called "SimuScripts" of Version 4 (new name: PosSizers).

Here's an extract from an old FAQ that applies to WLD4:
QUOTE:
What is a SimuScript?

SimuScripts are small scripts that control customized Position-sizing. A SimuScript can execute complex Position-sizing logic that utilizes the current level of the overall equity and cash levels. These scripts are stored in the "SimuScripts" folder when downloaded into Wealth-Lab. In Wealth-Lab Developer 3.0 and up, SimuScripts can be used in all the Wealth-Lab trade-generating tools: $imulator, Scans, Rankings, and ChartScript Window. SimuScripts are not available for use on the website.
profile picture

lightspeedbiker

#3
Eugene

I will make use of PosSizers when it is released. Until (when?) is the work around
doing separate single backtests and then manually use excel to pull all the performance numbers
of interest into a unified summary?


profile picture

Eugene

#4
I don't think it could serve as a workaround, because combining the four individual backtests together does not make a true portfolio simulation: they are not operating within the same capital pool, and each backtest can freely take any trade. Rather, a rough estimate.
profile picture

Wall

#5
I use WLP 4.x, not v5.x. If you also happen to use v4, or understand its usage, I may be able to suggest a workaround which you could then test in v4, or extrapolate the code to v5.
profile picture

lightspeedbiker

#6
Eugene
When do expect to a reintroduced "SimuScripts" of Version 4 (new name: PosSizers).
profile picture

Eugene

#7
Just keep in mind, that not all V4 code can be extrapolated to V5. If it contains something like "Equity", better forget about it.
profile picture

Eugene

#8
Not any time soon, I think: the upcoming 5.4 will not have this feature.