Skip to main content

Portfolio Backtest

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.

This feature is very useful for traders who want to diversify their capital across multiple strategies. Traders will be able to view the backtest results of a diversified portfolio to understand how running multiple strategies together can improve their overall results.

How to Use AlgoTest's Portfolio Feature​

You can easily use the AlgoTest Portfolio feature by following these simple steps:

  • Visit the AlgoTest website and click on the "Portfolios" button, as shown in the image below.

  • Click on the "Create New Portfolio" button as depicted in the image below.

  • Now select the strategies you want to backtest together, give a desired name to your portfolio, and click on "Create Portfolio." You can also create a new strategy by clicking on the "Create New Strategy" button.

  • Now you can view the strategies in your portfolio. You can choose the time period for backtesting and then run the portfolio by clicking on the "Run Portfolio" button.

  • You can view the combined backtest result of strategies in the image below.

As shown in the image above, the portfolio backtest displays the backtest results of multiple strategies together and on an individual basis.

Advanced Features ​

There are advanced features available in portfolio backtesting that can enhance your results and improve your portfolio.

Quantity Multiplier​

This feature enables the multiplication of quantities in individual strategies within a portfolio and allows for filtering of backtest results based on strategies with different quantities.

  • Click on the Quantity Multiplier button, which is shown in the image below.

  • You can select the quantity from the drop-down menu, as shown in the image below.

Day Filter​

You can use this feature to filter your portfolio backtest results based on the chosen days for strategies, enabling you to optimize your strategy on a daily basis.

  • You can utilize this feature by selecting specific days, as demonstrated in the image below. It will refine the backtest results according to the days you have chosen.

DTE Filter​

This feature allows you to filter your strategy backtest results based on their distance from expiry. For example, you can use this feature to filter out strategies based on their results on expiry days by selecting DTE = 0. This will show only the backtest results for expiry days based on their respective instrument.

You can enable the DTE filter as shown in the image below.

  • Now select the days from the options given in the dropdown menu as shown in the image below. Then, click on the apply button to apply to all the strategies.

  • You can also choose to apply the DTE filter individually to the strategy, as shown in the image below.

Enable/Disable Strategy​

This feature allows you to filter out your backtest results based on your chosen strategy. For example, if you backtest a portfolio of 30 strategies and want to remove some of them from the backtest results, you can simply deselect those strategies, and the backtest results will be filtered accordingly.

Edit/Delete Portfolio​

This feature allows you to edit or delete your portfolio. You can click the edit button to edit your portfolio and add or remove a strategy from it. You can click the delete button to remove the portfolio.