Portfolio Backtesting in eSignal

We are often asked if eSignal supports portfolio backtesting and unfortunately the answer is no. The only backtester currently available is integrated into the chart component. If a EFS indicator or system that is currently loaded into the chart is "backtester-ready" then you can right-click on the study title and select the Show Backtest Report option, which will produce a backtest for the charted symbol and interval only.

Recently, however, we have come up with a system that will allow you to monitor key stats for a single backtestable system over a large basket of securities. Not quite true portfolio backtesting, but a significant improvement over the status quo.

To do this, we took the existing trading systems that we offer in our product catalog and rewrote them to include the inline calculation of a number of performance statistics. These performance stats, which are a small but important subset of those provided in the eSignal backtester, are then displayed in the cursor window when the system is loaded into a chart.

More importantly, if the system is loaded into a watchlist then the current performance stats are displayed for each symbol in the watchlist. You can then sort on any of the stats and isolate those symbols showing good performance for further investigation. Normally, to accomplish this kind of thing, you would need to pull up a chart for each symbol, run a standard eSignal backtest, and then either export or print the results for further analysis. With this method you can simply load the system into a watchlist populated with all of the symbols that you care to track and instantly see the performance results.

If the watchlist is linked to a chart running the same system then you can click on any row in the watchlist to view the chart for that symbol and, of course, you can then run a full eSignal backtest on that chart by selecting the Show Backtest Report option as mentioned above.


Obviously to perform a meaningful backtest a large number of bars will need to be available in both the chart and the watchlist, so be sure to apply a Time Template that preloads enough bars. You will need to apply this Time Template to both the chart and the watchlist. See our Time Template article for more information on that topic.

The inline performance statistics provided are:

Stat Description
Trades Total number of trades in the sequence.
Equity Current equity. Each system allows you to specify a starting account size as well as the risk-per-trade, and a dollar value per one-point move.
Winners The total number of winning trades.
Losers The total number of losing trades.
WinRatio The ratio of winners to total trades expressed as a percentage.
AvgWin The average winning trade expressed in dollars.
AvgLoss The average losing trade expressed in dollars.
AvgTrade The average trade expressed in dollars.
ProfitFactor Gross profit divided by gross loss.
Expectancy The expectancy ratio, calculated as ((AvgWin/AvgLoss)*WinRatio)-(1.0-WinRatio)
RiskRuin The risk of ruin is a probability (between 0 and 1) that the equity will be depleted to the point where you are no longer able to trade the system.
Drawdown This is the close-to-close drawdown which displays the loss from the most recent high equity point.
Bars The total number of bars considered in the inline backtest.
InMarket Percent of the time (bars) that the system was in the market.
PointValue The dollar value of a 1-point move in the security being tested.

This "inline-stats" logic has been integrated into a number of the backtestable trading systems that we currently offer on our site:
  • Bollinger Bounce System
  • Bollinger Breakout System
  • CCI Crossover System
  • Hilbert Sine System
  • MA Crossover System
  • MSRM System
  • Opening Range System
  • RMV System
  • Stochastic System
  • RSI System
  • StoCyberCycle System

To view more information on any of these systems, just go to our Products page and select Systems from the Category view.

If you have an existing EFS system or have designs in mind for a new one, we can integrate this kind of logic for you at a reasonable cost.

Divergence Software, Inc.
www.sr-analyst.com
support@sr-analyst.com
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