RealTest is a powerful backtesting engine that works on daily data. It is written and maintained by Marsten Parker, who I interviewed for the Line Your Own Pockets podcast a few weeks ago.

The Strategy Cruncher optimizes on columns in your backtest. The more columns you add to your backtest, the more you'll be able to improve your strategy and create new profitable strategies.

The Strategy Cruncher RealTest Column Library

I provide a library of columns to use in RealTest. Use this as a starting point and a reference for the types of columns to add to your backtest. There are dozens of useful indicators in this file that I use in all my strategies.

Download the RealTest Column Library (this will download a file called ADD_TO_TRADES_SECTION.txt)

In your .RTS file for your backtest, add the contents of the text file to your Trades section. This adds extra columns to your backtest.

Over time you'll want to modify and add more columns to your backtest for your favorite columns that are predictive for your strategy.

Turn Compounding Off

By default, RealTest uses compounding in your strategy. This means that if your strategy makes money over time, the more recent trades will be taken with much larger size than older trades. This causes a problem for the optimizer since the most recent trades will be weighted far more heavily.

Look for the Quantity and Allocation fields in your RealTest code and make sure you use a non-compounding approach.