1
Questions & Answers / Re: Portfolio Backtests - extremely good to be true
« Last post by admin on March 14, 2024, 05:13:02 pm »Replied your support ticket. I would guess the difference is in the leverage (margin %) used.
Recent Posts
2
Questions & Answers / Portfolio Backtests - extremely good to be true
« Last post by Horacio Moreno on March 11, 2024, 12:17:23 am »Hello,
Here the results of my portfolio backtest. I find this extremely good to be true. Could someone please explain why this might be happening?. Thank you!
Strategies: 43 Max Slots: 10 Account Alloc: 100.00 %
Initial Capital: 50000.00 Final Equity: 864103.73
Total ROI: 1628.21 % CAGR: 158.54 %
Max. DD: 2.90 % Sharpe Ratio: 12.410
Log. Linearity: 99.282 % System Score: 155.154
Start Date: 2021-03-01 End Date: 2024-02-29
Commissions: 5849.71 Comm.% P/L 0.71 %
Here the results of my portfolio backtest. I find this extremely good to be true. Could someone please explain why this might be happening?. Thank you!
Strategies: 43 Max Slots: 10 Account Alloc: 100.00 %
Initial Capital: 50000.00 Final Equity: 864103.73
Total ROI: 1628.21 % CAGR: 158.54 %
Max. DD: 2.90 % Sharpe Ratio: 12.410
Log. Linearity: 99.282 % System Score: 155.154
Start Date: 2021-03-01 End Date: 2024-02-29
Commissions: 5849.71 Comm.% P/L 0.71 %
3
Models, Algorithms & Approaches / Re: profit estimator
« Last post by Paolo Paolo on September 29, 2023, 04:18:48 pm »isthis forum still active?
4
Models, Algorithms & Approaches / profit estimator
« Last post by Paolo Paolo on September 18, 2023, 02:30:31 am »I’m trying to understand how it works. The manual reports
This particular "profit estimator" simulates that both prices drop proportionally to the positive direction
coul you please elaborate it more on how profit is estimated? i.e. proportionally to what? could you pls provide the formula used ? thanks
This particular "profit estimator" simulates that both prices drop proportionally to the positive direction
coul you please elaborate it more on how profit is estimated? i.e. proportionally to what? could you pls provide the formula used ? thanks
5
Questions & Answers / Re: advise for building PTL on linux / ubunto
« Last post by admin on July 24, 2023, 05:10:05 pm »I suggest building it using the bundled gradle wrapper instead of an IDE.
https://github.com/quantverse/ptltrader#building-the-app
https://github.com/quantverse/ptltrader#building-the-app
6
Questions & Answers / advise for building PTL on linux / ubunto
« Last post by don martin on July 19, 2023, 12:57:00 pm »Hi,
I'm trying to build PTL on Ubunto.
(https://github.com/quantverse/ptltrader)
I'm using intelliJ, and getting many gradle errors.
Are there recomendations for other IDE's perhaps, or any sepcific set up options?
Have installed JDK 11
Cheers, Erez
I'm trying to build PTL on Ubunto.
(https://github.com/quantverse/ptltrader)
I'm using intelliJ, and getting many gradle errors.
Are there recomendations for other IDE's perhaps, or any sepcific set up options?
Have installed JDK 11
Cheers, Erez
7
Questions & Answers / Using etrade not interactive brokers
« Last post by John Soares on July 06, 2023, 04:15:16 pm »Do I really have to transfer money to ib? I have etrade already. Also I only want 15 to 20 minute delayed pricing. Would yahoo finance work?
8
Questions & Answers / Re: Z-score from EMA difference with Ratio Model
« Last post by svkuz on June 05, 2023, 05:22:59 pm »After reviewing the implementation. I found that the Zscore it is calculated here: method getZScore in PairTradingModelRatio.java
But, I cannot return the same results as on the backtest. Please, correct me if I understood bad on the calculation of the zscore:
1. Calculate the min and max ratios from closing ASK and BID prices of the current date for both symbols. To do this, it is used MultiRatio class
2. Calculate historial ratio using closing historical data (not bid or ask) and do: stock1 close price / stock2 close prince
3. Calculate current EMA with 21 periods using historical Ratio calculated on previous step
4. Calculate STD DEV with 21 periods using historical Ratio calculated on step 2
5. Calculate zscoremin: (minratio - EMA of step 3) / STD DEV of step 4
Calculate zscoremax: (maxratio - EMA of step 3) / STD DEV of step 4
6. Finally, calculate the mean of zscoremin and zscoremax: (zscoremin + zscoremax) / 2 and this is the final zscore which appear on the trade log
What am I doing wrong?
Many thanks in advance,
Best Regards.
But, I cannot return the same results as on the backtest. Please, correct me if I understood bad on the calculation of the zscore:
1. Calculate the min and max ratios from closing ASK and BID prices of the current date for both symbols. To do this, it is used MultiRatio class
2. Calculate historial ratio using closing historical data (not bid or ask) and do: stock1 close price / stock2 close prince
3. Calculate current EMA with 21 periods using historical Ratio calculated on previous step
4. Calculate STD DEV with 21 periods using historical Ratio calculated on step 2
5. Calculate zscoremin: (minratio - EMA of step 3) / STD DEV of step 4
Calculate zscoremax: (maxratio - EMA of step 3) / STD DEV of step 4
6. Finally, calculate the mean of zscoremin and zscoremax: (zscoremin + zscoremax) / 2 and this is the final zscore which appear on the trade log
What am I doing wrong?
Many thanks in advance,
Best Regards.
9
Suggestions And Feature Requests / Re: Request for filter in pairs database
« Last post by admin on March 08, 2023, 09:42:44 pm »Good idea...adding to TODO list!
Kind regards,
Karel
Kind regards,
Karel
10
Suggestions And Feature Requests / Request for filter in pairs database
« Last post by Kurtis Hemmerling on March 08, 2023, 09:42:44 pm »I love this new software. But there is one thing missing, the ability to screen assets based on dollar x volume or turnover. I see price and I see volume. But either one is very limited in usage. I want to screen for stocks with at least $10 million in daily turnover. Depending on the stocks price that could be a range of 10 thousand shares to 10 million. You already have the two data points. Please consider allowing us to multiply them together as a filter. Thank you.