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At the moment the backtester has a portfolio; a portfolio is associated with one strategy. The backtester is used to test different strategies one at a time, giving their return, Sharpe, drawdown. But should the portfolio have the ability to be associated with multiple strategies (running simultaneously); or should the backtester have ability to run multiple portfolios, each with an individual strategy? Is this somehow important in the context of portfolio optimisation?

Update: in addition to the speed / parallelisation argument, I am looking for a financial argument. One could argue that a backtester is a simulation of the fund's performance; in that context -- would a fund have a portfolio with multiple strategies assigned to it?

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    $\begingroup$ If you are working by yourself (and don't have a large number of programmers working for you) I suggest you keep your project as simple as possible. No backtest engine that I know has this feature (even though it might be nice to save the user time). $\endgroup$
    – nbbo2
    Aug 16, 2016 at 15:27

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Well from personal experience backtesting can take as long as several hours depending on the strategy, so it would certainly be helpful to test in parallel in various cases as it can help speed up performance depending on your hardware.

Now if you have a portfolio optimizing model requiring a parameter input, running a strategy testing many parameters on a single portfolio in parallel would a help maintain a decent sample size while preserving time taken to backtest.

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  • $\begingroup$ Good arguments in terms speed / parallelisation. In addition to speed, backtester as an accurate representation of what the actual financial portfolio might be doing is also important. From a financial perspective, could you have a situation where one portfolio is running multiple strategies or is this unusual? $\endgroup$
    – A.L. Verminburger
    Aug 16, 2016 at 9:11
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    $\begingroup$ If one has a large portfolio, It could be useful if a strategy where to hedge another, maybe for FX Exposure or such. However I couldn't think of anything of particular usefulness. $\endgroup$
    – FX_NINJA
    Aug 16, 2016 at 19:20

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