Hi All, I see that most backtesting software tests the strategy and don't include money management or portfolio . I want to test my results not my strategy. If I have an output like this : Stock-Ticker Buy-date Buy_price Sell-date Sell-Price ======== ====== ====== ===== ======= xxx 1997-10-30 10.95 1997-12-10 11.10 yyy 1998-03-16 55.5 1998-07-02 60.0 Strategy may give any number of buy and sell signals any period, I don't know how many stocks I will buy,how long I will keep it and when I will sell it ! I can write a program to calculate returns but in a portfolio how do you manage it ? 1- Should I put a starting capital? I don't know number for stocks I will buy at any time in the future. If I put too much, lower my return; too less I will not have enough to trade all. 2- Should I use fixed amount for each trade ? 3- Should I use compounding returns, put back in trade ? 4- How to compare my return to an index like SP 500. When I buy/sell stock should I do the same for SP500? If so still results maybe corrupted because of correlation.
http://www.financialwebring.org/gummy-stuff/kelly-ratio.htm Use half-Kelly size for two or more stocks.