Disable Portfolio analysis on Performance Report

Posted By: krlitoos

Disable Portfolio analysis on Performance Report - 10/04/19 07:00

I'm doing an experiment where I'm running multiple algos on diverse assets, the backtest works fine, the problem comes when computing the performance report because it takes so long and never ends, in fact, Zorro hangs out.

Is it possible to print information up to Portfolio analysis?

Report extracted from the manual

Code
Walk-Forward Test Z4 portfolio
 
Simulated account   AssetsFix.csv (NFA)
Bar Period          4 hours (avg 266 min)

Simulation period   06.06.2007-02.12.2017 (9483 bars)
Test period         10.06.2010-02.12.2017 (6259 bars)
WFO test cycles     11 x 569 bars (137 days)
WFO training cycles 12 x 3224 bars (111 weeks)
Lookback period     700 bars (169 days)
Monte Carlo cycles  200
Fill mode           Realistic (slippage 5.0 sec)
Avg bar             5.1 ticks  470.5 pips range
Spread              0.7 pips (roll -0.70/-0.31)
Contracts per lot   1.0
Capital invested    5000$
 
Gross win/loss      60452$ / -43672$ (+16252 pips)
Virtual win/loss    60024$ / -44112$
Average profit      4309$/year, 359$/month, 17$/day
Max drawdown        -2025$ 12% (MAE -2287$ 14%)
Total down time     78% (TAE 93%)
Max down time       119 days from May 2011
Max open margin     656$
Max open risk       1863$
Trade volume        $10164943 (2610626$/year)
Transaction costs   -637$ spr, -365$ slp, -906$ rol, -1102$ com
Capital required    $2681
 
Number of trades    1370 (351/year)
Percent winning     44%
Max win/loss        810$ / -407$
Avg trade profit    12$ 10.4p (+99.0p / -56.5p)
Avg trade slippage  -0.27$ 0.2p (+1.1p / -1.4p)
Avg trade bars      16 (+23 / -10)
Max trade bars      141 (34 days)
Time in market      355%
Max open trades     14
Max loss streak     17 (uncorrelated 13)
 
Annual return       161%
Profit factor       1.38 (PRR 1.28)
Sharpe ratio        1.94
Kelly criterion     0.63
Ulcer index         12%
Cycle performance   1.39 1.40 1.31 1.33 1.37 1.38

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2010              -2  20 -16  20 -13  22  10  -8   8   +38
2011  -1  15  15  -9  26  -1  -1  13   6  28   1   1  +135
2012   2  -9  21   1   3  -2  -0   3   1   0   7  13   +51
2013   6  13  -7  -4   9   6  -8  -4   0   1  -2  -8    -3
2014   6   3   0  -0   4  -2   3  -6   8  12  -9   5   +23
2015   5  -7   8  13  -1   0   0   1   3  -1  -5 -12   +17
2016  19   1   6   9   6 -10  10   3   1  -1   6  -2   +30
2017  -1  -7   6  -5   0  -0  -1   2   1  -5  -1   7    -6
 
Confidence level     AR   DDMax  Capital
 
 10%                236%  1440$  1390$
 20%                227%  1550$  1470$
 30%                218%  1680$  1570$
 40%                209%  1830$  1680$
 50%                202%  1940$  1760$
 60%                193%  2140$  1900$
 70%                186%  2340$  2040$
 80%                174%  2730$  2320$
 90%                166%  3080$  2580$
 95%                146%  4010$  3580$
100%                104%  5640$  4710$
 
Up to here
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Portfolio analysis  OptF  ProF  Win/Loss  Wgt%  Cycles


Posted By: Spirit

Re: Disable Portfolio analysis on Performance Report - 10/05/19 13:54

You can delete the analysis from the report file if it is too big. But it is not normal that it takes long. Even printing 1000 lines takes no time on a modern computer. Maybe something else is wrong, you should tell it to support.
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