Author Topic: Change of slot number does not change performance in the backtest  (Read 155 times)

tcima

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Hi,

I've been tuning my portfolio and have the following issue:

When I doubled the number of slots of a pair in a portfolio, both the CAGRs of the pair and whole portfolio (strategies: 9, max slots: 10) did not change a bit. The margin allocated to the pair is 100%.

I'd like to know why the performance doesn't change.

Thanks in advance

admin

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Re: Change of slot number does not change performance in the backtest
« Reply #1 on: March 14, 2022, 10:49:14 am »
CAGR might not differ much by just changing max slots. It depends on more things. Please read more about slots & money management in the manual in order to understand this perfectly: https://wiki.pairtradinglab.com/wiki/Pair_Trading_Lab_Portfolios

Look at this example:

10 max slots: https://www.pairtradinglab.com/portfolio_backtests/Yi9UHrYB2unsf33-
20 max slots: https://www.pairtradinglab.com/portfolio_backtests/Yi9U0oUW2S5Ou6Do

Focus on the Slot Usage chart...is it more clear now? Think more about relationship of max slots and amount of pairs in the portfolio. CAGR only changed a bit here.