Hi All,
I see that most backtesting software tests the strategy and don't include money management or portfolio . I want to test my results not my strategy. If I have an output like this :
Stock-Ticker Buy-date Buy_price Sell-date Sell-Price
======== ====== ====== ===== =======
xxx 1997-10-30 10.95 1997-12-10 11.10
yyy 1998-03-16 55.5 1998-07-02 60.0
Strategy may give any number of buy and sell signals any period, I don't know how many stocks I will buy,how long I will keep it and when I will sell it !
I can write a program to calculate returns but in a portfolio how do you manage it ?
1- Should I put a starting capital? I don't know number for stocks I will buy at any time in the future. If I put too much, lower my return; too less I will not have enough to trade all.
2- Should I use fixed amount for each trade ?
3- Should I use compounding returns, put back in trade ?
4- How to compare my return to an index like SP 500. When I buy/sell stock should I do the same for SP500? If so still results maybe corrupted because of correlation.
I see that most backtesting software tests the strategy and don't include money management or portfolio . I want to test my results not my strategy. If I have an output like this :
Stock-Ticker Buy-date Buy_price Sell-date Sell-Price
======== ====== ====== ===== =======
xxx 1997-10-30 10.95 1997-12-10 11.10
yyy 1998-03-16 55.5 1998-07-02 60.0
Strategy may give any number of buy and sell signals any period, I don't know how many stocks I will buy,how long I will keep it and when I will sell it !
I can write a program to calculate returns but in a portfolio how do you manage it ?
1- Should I put a starting capital? I don't know number for stocks I will buy at any time in the future. If I put too much, lower my return; too less I will not have enough to trade all.
2- Should I use fixed amount for each trade ?
3- Should I use compounding returns, put back in trade ?
4- How to compare my return to an index like SP 500. When I buy/sell stock should I do the same for SP500? If so still results maybe corrupted because of correlation.
