Portfolio test with 100% equity has insufficient capital
Author: thodder
Creation Date: 4/12/2010 8:37 AM
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thodder

#1
When I do a backtest with 100% of equity with a single symbol, why do I get trades dropped due to insufficient capital? The strategies I've used are designed for single open positions, so I should be all in or all out with 100% -- never over my capital.

Try using the strategy here as an example for testing:
http://www2.wealth-lab.com/WL5WIKI/Default.aspx?Page=MACD

SETTINGS:
Bar Scale: Daily
Data Range: 3 Years
Testing Mode: Portfolio Simulation
Starting Capital: $100,000.00
Position Size: 100% equity
Data Applied: Symbol ACI

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Eugene

#2
Please see: Strategy Window > Backtesting Strategies > 100% of Equity Sizing in the Wealth-Lab User Guide.

P.S. The new release (2009.03) of MS123.PosSizers allows you to test at almost 100% (actually, 100% minus the costs of trading) using "Skipped trade solution":

Position Options
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thodder

#3
Thanks Eugene. That sounds like a reasonable explanation.
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hplein

#4
Is there a way to list the trades that are not performed due to insufficient capital?
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Eugene

#5
I don't think there's an easy way. Why do you think it may be required?
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