Backtesting margin size

Created at 06 Jun 2018, 00:51
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zedodia

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Joined 30.05.2018

Backtesting margin size
06 Jun 2018, 00:51

im hoping someone can enlighten me on this. When backtesting the results show the balance and equity. When running a bot there is also margin used to open positions which then affects the available equity. Is this something cAlgo backtests consider and/or reflect in there equity amount? Or is it disregarded adding yet another uncertain variable to the equation? As an example if I have a drawdown of $500 in equity off of a $1000 account, is this a combination of the margin used and unrealised P/L or is it just P/L?

 

thankyou

@zedodia
Replies

zedodia
06 Jun 2018, 04:38

It’s as I expected. The equity drawdown isn’t the drama when backtesting. It’s the available margin which allows you to open more positions. Is there a way to add this into testing or do I need to find a different backtesting software. 

 

I’ll try post some pic tonight to aid in what I’m trying to explain if it’s not making sense.

@zedodia

PanagiotisCharalampous
06 Jun 2018, 10:24

Hi zedodia,

Margin requirements are currently not considered in backtesting, however this is in our backlog for future versions.

Best Regards,

Panagiotis

@PanagiotisCharalampous

zedodia
06 Jun 2018, 14:17

Ah ok. Thanks for the quick reply mate. Hope it’s comes soon. I’m sure many people are interested to see it implemented. 

I did a bit of a search on the site. It seems there is no way to add it in a code easily?

@zedodia

PanagiotisCharalampous
06 Jun 2018, 17:01

Hi zedodia,

You can write custom code to consider this but it should be customized on your cBot.

Best Regards,

Panagiotis

@PanagiotisCharalampous
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