Backtesting - Equity

cAlgo_Development
21 Aug 2013, 11:22

I have read other threads about it, and your will to improve your backtesting to handle this situations.

If you keep losing positions, equity goes down. We consider this as a correct behavior. How would you suggest to handle it?

It would be useful to have also the max value of negative equity reached and not just the value of equity at the opening of a position.

We have a plan to implement it.

Forex19
22 Aug 2013, 18:07 ( Updated at: 21 Dec 2023, 09:20 )

RE:

I show any screenshots for a better explain what I think is not exact and what could be implemented to improve the backtesting:

If I understand correctly, the graph of the equity and the balance is derived for points.
Given this. the graph of the equity and the balance does not allow us to observe the real operating performance.

I show another screenshot to another situation:

As you can see in the graph and info events are not shown clearly.

The two graphs have reported the same operation but in the second graph I increased the number of orders to overcome the negative equitiy shown in the case of the first graph.
In the second graph is not seen that from the operation 4 (where the equity starts to decrease) to the operation 18 (where the equity returns positive) the trend of the equity is very variable from negative to positive.

cAlgo_Development said:

I have read other threads about it, and your will to improve your backtesting to handle this situations.

If you keep losing positions, equity goes down. We consider this as a correct behavior. How would you suggest to handle it?

I think it would be important to have more information and settings for the equity. 
I'd suggest increasing the options during the backtesting:

• In backtesting setting, be able to choose equity can be negative or not during simulation. Providing that the backtesting stops with equity <0 or even better less than some value that the user can sets.
• In backtesting setting, be able to choose whether to set the value of the margin call and the stop out level.
• On the "Report" to have an indication of the minimum and maximum value of equity and when it was reached.

I hope these tips can help you improve cAlgo which I think is very good but can be improved.

cAlgo_Development
23 Aug 2013, 10:27

OK, thank you for the detailed explanation. This is what we definitely should do.

Forex19
21 Oct 2013, 23:34

RE:

cAlgo_Development said:

OK, thank you for detailed explanation. This is what we definitely should do.

Are there improvements to short time on backtesting?

Thanks and good job.

Spotware
22 Oct 2013, 14:45

It isn't implemented yet but we have planned to do two features in the nearest time: Improve backtesting equity graph (draw equity peaks) and stop backtesting whet equity goes below zero.