portfolio backtest equity line

Posted By: ppaolo

portfolio backtest equity line - 09/20/17 20:41

Hallo
I'm testing Zorro platform backtest feature
Im confused about charts generated after test and results
It seems that statistics are generated at portfolio level while chart is related to the last security in the while-asset-loop
Is it possible to ge a total equity graph generated by the whole portfolio and have access to statistics related to each traded security?
Posted By: ppaolo

Re: portfolio backtest equity line - 09/26/17 12:36

can anyone please advise? Jcl maybe?
Posted By: Hredot

Re: portfolio backtest equity line - 09/26/17 12:40

As far as I understand, the price curve you see in the graph is one of the traded assets, but the overall equity gain / drawdown (blue and red areas) are for the entire portfolio.
You can see every single trade the system performed in the log file.
Posted By: ppaolo

Re: portfolio backtest equity line - 09/26/17 13:45

not really
I see blue and red line related to the last asset..
is there any way to see it in chart or see the total portfolio equity?
or am i supposed to "build" it in excel or some other external system aggrgating logs?

Posted By: Dalla

Re: portfolio backtest equity line - 09/26/17 13:59

Like Hredot already said, the equity /DD curve is for the entire portfolio, while the price curve and trades is for a single asset of the portfolio
Posted By: AndrewAMD

Re: portfolio backtest equity line - 09/26/17 14:27

I suppose you can make an if(is(EXITRUN)){for(all_trades){}} loop and filter out the individual assets, add up trade performances for that asset only, and perhaps export the values to csv (or whichever format you prefer).
Posted By: Brax

Re: portfolio backtest equity line - 09/26/17 17:29

From http://manual.zorro-trader.com/tips.htm

char name[40]; // string of maximal 39 characters
strcpy(name,Asset);
strcat(name,":");
strcat(name,Algo);
var equity = EquityShort+EquityLong;
if(equity != 0) plot(name,equity,NEW|AVG,BLUE);

Do this after each asset call, store the equities in variables and plot them at the end. Itīs the only thing we can do for now.

Regarding statistics i think you can access several metrics at portfolio level, but i have never tried to access them at asset level after each one has finished processing...

You can try what AndreAMD has stated.
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