Multi-Strategy Portfolio-Level Backtesting Software

Combine Multiple Strategies

RealTest makes it easy to model and test trading systems that combine many diverse strategies.

Diversify in Every Dimension:

• Side (Long/Short)
• Strategy Type
• Markets Traded
• Bar Size

Detailed Results Analysis

Underlying each top-level row of the test results window is a depth of analysis tools.

• Drill down into the individual strategy results
• Study a variety of graphs
• Review the list of trades in table and on price charts

The user interface makes navigation through this data simple and intuitive.

Simple Script Syntax

The RealTest script syntax is not a programming language.

Each line of a RealTest script is essentially a parameter to a general-purpose systematic trading model.

Writing a script is like filling out a form, with helpful suggestions provided as you type.

If you can build Excel worksheets, then you can write RealTest scripts.

The powerful formula syntax is fully recursive and includes every well-known indicator, allowing any imaginable trading strategy to be tested.

Sample Scripts Included

RealTest comes with a robust collection of example scripts, from the simplest scans and strategies to fully developed and currently profitable trading systems.

Whatever you want to test, you will find an example showing how to structure it.

Backtest Actual Trades

Whether you're a systematic trader looking to compare actual to backtest results, or a discretionary trader wanting to analyze your trades, RealTest has you covered.

Trades can be imported as round-trip entry/exit pairs or as a transaction list.

Interactive Brokers Flex Query output is directly supported.

Imported trades can be tested as-is or with systematic rules added.

Study Trades on Charts

From the results output row of any test, a list of trades can easily be opened.

Double-clicking on a trade list row opens a chart showing the entry and exit points.

Pressing the up and down arrow keys cycles that chart through the list, making it quick and easy to review the trades of a strategy and confirm that it's doing what you intended.

Study Trades with Analysis Tools

The Trade Plots feature opens the door to a full set of detailed trade-level graphs and plots.

• Scatter plots
• Profit and MAE/MFE distributions
• Cumulative trade-level profit curve
• Monte Carlo profit and drawdown analysis
• Formula-based multi-bin analysis

View these plots for any strategy in a test or for the combined results.

Generate Order Lists

RealTest can generate a list of orders to place for the next trading day after the last date of any backtest run.

Order lists can be in either human-readable text or machine-readable CSV format.

Templates are provided for IB Basket Trader and The Chartist Smart API CSV file formats, and other formats are easy to add.

Reviewing hypothetical order lists is a great way to ensure that a strategy is structured correctly.

Optimization and Multiple Tests

The RealTest Optimizer can perform any standard strategy parameter optimization task.

It can run interval tests and generate walk-forward parameters.

Any stat from the Results output can be used as a fitness function.

Results can all be kept, or can be sorted and pruned as tests are run.

Large parameter spaces can be traversed more quickly using Sequential or Genetic modes.

Understand Multi-Strategy Dynamics

Supplementing the results analysis tools shown above, RealTest also provides an HTML-based test summary report.

This report includes, among other things, strategy correlation matrices for both daily returns and drawdowns.

Strategies Know their Stats

The RealTest script syntax includes a rich set of system statistics items.

Strategy definitions can include references to their own current stats and/or those of other strategies.

This allows, for example, a Benchmark version of a strategy to be used to govern the live version.

Discover why Edges Exist

The Plot Options dialog opens the door to a number of tasks that have previously required exporting trade details to Excel, and some that would not even be possible by doing so.

Here we see the trades from a long mean-reversion strategy grouped into equal-count bins after having been sorted by RSI(2) as of trade setup date.

It would appear that trade expectancy is correlated with this indicator.

Using the formula mini-editor and trade-level statistics, there's no limit to what can be studied here.

Fully Customizable Output

The contents of the four levels of results reporting are defined in four standard scripts: Results, Graphs, Trades, and Charts.

You can easily edit these scripts and/or temporarily override them by adding these sections to your own scripts.

Have it your way when it comes to stats reporting.