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Backtesting in TS with compounding of profits


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Backtesting in TS with compounding of profits

  #1 (permalink)
seta7
Warsaw and Poland
 
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Is it possible to backtest in TS so that the annual return includes the effect of profit compounding?

Currently I select in strategy properties trade size as USD per trade = $100,000 with initial account = $100,000, so despite accumulated profits with time it always trades with $100,000, thus not compounding - is there maybe a way to include in strategy code that each trade made with 100% of equity instead of selecting fixed size in TS strategy properties?

Thanks in advance

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  #2 (permalink)
 ABCTG   is a Vendor
 
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seta7,

you could size your positions within the code and compute your available equity as starting balance + NetProfit and use this to compute your position size.

Regards,

ABCTG


seta7 View Post
Is it possible to backtest in TS so that the annual return includes the effect of profit compounding?

Currently I select in strategy properties trade size as USD per trade = $100,000 with initial account = $100,000, so despite accumulated profits with time it always trades with $100,000, thus not compounding - is there maybe a way to include in strategy code that each trade made with 100% of equity instead of selecting fixed size in TS strategy properties?

Thanks in advance


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