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How to Backtest Multiple Trading System Results

In this video, we show how to test the combined backtested results for 18 individual trading systems from Tradestation. There are two different ways we can do this.



With most trading platforms, it is not difficult to build and backtest a single trading system. Once you develop and trade more than one trading system, the question is, "What is their combined back tested performance?"


The goal is to improve risk adjusted returns by trading a diverse group of trading systems so that the worst-case drawdown of the combination of the trading systems is less than the sum of the worst-case drawdowns since they occur at different times.


It is always more difficult to determine what the results are when trading multiple trading systems. There are two ways we like to backtest hypothetical results for portfolios of trading systems that we consider trading.


The two ways we discuss are:


1.) Multicharts Portfolio Calculator

2.) Microsoft Excel Portfolio Calculator.


The Portfolio Calculator has been updated through September 6, 2024. It is a tool that has been built, starting in 1999 to keep track of the combined end of day equity curve results.


We discuss the latest results for the Stock Index Portfolio 18.


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U.S. Government Required Disclaimer - Commodity Futures Trading Commission. Futures and options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website. The past performance of any trading system or methodology is not necessarily indicative of future results.

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CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY, SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

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