Portfolio Testing

Once you have your signals and design trading the way you would like, you can test the design on a portfolio of data.



To do this, 
  1. choose views > Design Test > Portfolio.   
  2. From the portfolio toolbar, select the folder containing the data set you wish to test again.
    1. Please note that we recommend you break your data set into sets so that you can leave part of your data for out of sample testing.    
      1. You can do this just dividing your data set by say 10, and putting 1/10th of your TIK files each into their own folders, and selecting that set when doing portfolio test or optimization.
      2. You may also want to brush up on cross validation.
      3. It's recommended to save some # of sets for final validation (if you have 10 starting sets, usually 1-3 would be reserved for final validation step).
  3. Select the design you wish to test.
  4. The test will begin and a progress bar is shown.   
  5. You can continue designing and/or using other views while the portfolio run is processed.
When you're done you'll get a closed PL histogram for your design that looks something like this :
portfolio test example


Mouse over any part of the histogram to see more information on positive and negative profit and loss contributions.

Double click any part of the histogram to load your design and that particular data set into the historical signals view.

Design Optimization (via Gauntlet)

To optimize a design on a portfolio : views > design test > optimize a design

Click 'design' button and choose the dll associated with the design you want to portfolio test.  

Designs testable in historical simulators like Gauntlet  are designed by having '_historical' in their dll's name.   Eg testing thelongranger in gauntlet you'd select the thelongranger_historical.dll

Historical dlls are updated anytime you change a design and can run in gauntlet with no BP limits.

Gauntlet can be used to optimize default signal values, see the optimize tab in Glean.   To make a signal optimize-able in Gauntlet, double click it glean and choose 'optimize-able'.

Control+H for help using Gauntlet.