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Portfolio by AlgoTest

The AlgoTest Portfolio feature enables you to backtest multiple strategies simultaneously with just one click. It will display the combined backtest results and statistics of multiple strategies. You can backtest up to 50 strategies together in 1 portfolio.

What is the Portfolio Optimiser? What does it do?​

Do you worry about what strategy to run? Trying to figure out what are the best days to run your strategies on?

Well, worry no more because AlgoTest’s Optimiser is here!

With the Optimiser you can quickly optimise your strategies for Win%, Average MTM, Maximum Drawdown, Return/Maximum Drawdown, and Expectancy Ratio.

What can I optimise my strategies for?​

Win %​

Selecting this for optimisation will maximise your win % for the strategies in your portfolio.

What is Win %?​

Win % refers to the number of winning (money making) trades in your portfolio. It does not take into account how much was won or lost, but simply the number of trades that made money vs those that didn't.

Average MTM​

Selecting this setting for optimisation will maximise the Average MTM for the strategies in your portfolio.

What is Average MTM​

Avg MTM, or Average MTM refers to the MTM (Mark to Market) per trade. This is different from overall MTM.

Maximum Drawdown​

Selecting this setting for optimisation will optimise your strategies for the Maximum Drawdown in your portfolio.

What is Maximum Drawdown?​

A maximum drawdown (MDD) is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.

Return/Maximum Drawdown​

Selecting this setting for optimisation will optimise your strategies for Return/Maximum Drawdown.

What is Return over Maximum Drawdown?​

Return over maximum drawdown (RoMaD) is a risk-adjusted return metric used as an alternative to the Sharpe Ratio or Sortino Ratio. Return over maximum drawdown is used mainly when analyzing hedge funds.

Expectancy Ratio​

Selecting this strategy for optimisitation will optimise your strategies for maximum expectancy ratio.

What is the Expectancy ratio?​

The Expectancy Ratio is a key metric used to measure the performance of trading strategies. It is calculated by dividing the Average Win (AW) by the Average Loss (AL).