Backtesting using own data of historic returns
Author: DanProtz
Creation Date: 1/14/2014 9:12 AM
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I am new to the forum. I have several managers who trade different accounts for me on interactive brokers. I would like to be able to backtest my portfolio based on their historic returns.

Can wealth lab do this? Also, is there any API that allows me to customize the output so as to set it up to be able to add managers to the pool and change allocation levels to test the portfolio?

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Hi Dan,

By backtesting we mean applying a mechnical trading system to OHLC data, or sometimes historic fundamental/news sources. What you're proposing seems not to be a typical Wealth-Lab task.

Question is, how exactly you want to backtest a portfolio based on returns of fund managers? What is the trading "vehicle"? How is the data arranged for the purposes of historical backtesting?
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I mean that I will have a series of monthly returns from lets say five managers. This can be converted into a simple NAV if I need to have a value for that. Basically I can arrange it in excel or some other database. Then I create a mix of those five managers and get a combined return from that portfolio. Also would be good to run optimization on that for efficient frontier, etc.

I realize its much less sophisticated than taking trade signals.

I would use this information to set up my allocation to those different managers.

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Well, if you have these NAV series as something like closing prices then they can be imported as usual ASCII files and "traded" according to some rules.

The best is to take a free trial and try out for yourself.
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