Building a portfolio backtest
Author: jahlbeck
Creation Date: 6/16/2010 3:50 PM
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I have built a portfolio and want to backtest based on performance of the portfolio in agreigate and not based on each symbol seperately. Can I do it?
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Of course. See the User Guide for "Raw Profit" (each symbol separately) and "Portfolio Simulation" (portfolio in aggregate) Modes, selected and configured in the Position Sizing control.
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Maybe I am doing something wrong

I built a portfolio of 7 ETFs

I have completed position sizing in Portfolio Simulation Mode

Trades still appear to be triggered on eact of the 7 ETFs and not the portfolio in aggregate.

The trading system is based on 200 day SMA

Am I doing something wrong?
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I misunderstood. When we speak of "Portfolio" testing, it refers to how you would actually trade a set of instruments in real life with a limited amount of money. Consequently, depending on your sizing rules and cash available, you might not be able to take trades that your strategy has indicated.

As for "trading" your 7 ETFs in aggregate, well, there's really no way to do that in real life without buying each one, individually, is there? On the other hand, if the goal is to be unrealistic you could create an aggregate indicator from your 7 ETFs, export the data as an ASCII file, and set up and ASCII DataSet to read it as its own symbol to "trade" it.

Note that these types of breadth and aggregate indicators will be easier to create and work with later this year when Index-Lab is integrated into WLP/D v5.
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