OmniTrader Upgrade Forums
Portfolio Simulation Mode
PortSim vs Performance Summary Reports
2 replies, 856 viewings
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OmniTrader Upgrade Forums
Portfolio Simulation Mode
PortSim vs Performance Summary Reports
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Last Activity 7/31/2024 11:39 AM 2 replies, 856 viewings |
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aztrix Veteran  Posts: 116 Joined: 6/16/2004 Location: Sydney, NSW, Australia  User Profile |
I've been doing a lot of manual strategy testing because of bugs in the Hot Strategy Finder. What surprised me is the lack of correlation between the PortSim results and the Performance Summary Reports. As you can see from the attached PortSim it looks like I'm onto a winner with a Return:Drawdown of 27 and Avg Ann ROI of 121% but when I look at the Performance Summary Report, in contrast it's showing ANP% -3.39 and PPT% -1.5 … WHAT THE … How can you possibly go from an annual ROI of over 100% to making a loss in the same timeframe? Can someone please explain this to me or let me know where this might be documented so I can get me head around it? Cheers A very confused & concerned Aztrix  Attached file : az Super - PS.PNG (157KB - 230 downloads) Attached file : az Super - PSR.pdf (121KB - 837 downloads) Attached file : az Super - PDR.pdf (118KB - 278 downloads) | ||
| Buffalo Bill Legend   Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
I use it to see if a strat is potentially viable Port sim is a run which considers everything incl the things you set in the port sim settings tab (starting $, min and/or max $ per trade, etc) and all the settings in the selected ATM, interplay with other strats, etc, etc. The start/stop dates will effect Port sim results for example (start date is on a big mkt up cycle or down cycle?) but not much on perf rpt. There could be a million valid reasons why this happened, most likely in something you have set in the port sim settings or ATM method Port sim tells you if everything you have set/selected working together might by a viable system | ||
| aztrix Veteran Posts: 116 Joined: 6/16/2004 Location: Sydney, NSW, Australia User Profile |
I had in fact been doing 1 share per trade with no slippage or commission because of the many limitations in PortSim so now I can return to my pipedreams without any parameters set 🤑 I love learning from the many experts on these forums 🤓 Cheers Aztrix [Edited by aztrix on 4/1/2022 3:50 AM] Attached file : ASX All Ords Baseline Liq5M HMA100 CRSI2080 2 Days - PortSim.PNG (153KB - 228 downloads) |
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