Can Blox do multi strat portfolios?

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rabidric
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Can Blox do multi strat portfolios?

Post by rabidric » Mon Sep 18, 2006 1:25 pm

i have a technical/portfolio question about TBlox 's portfolio capability:

Can TB run a portfolio where different products may have different strategies specified to them(e.g. a CBO on currencies, an MA system on rates, and a Momentum system on metals)), and then give a single total composite output/equity curve/analysis summary?

e.g. most backtesters i have come across, you can specify a strategy and then run that on a tailored product portfolio, but if you wish to run different products on different strats, then i have to do each strat/mini-portfolio individually, then export to excel, then compile the seperate equity curves into a master portfolio curve.
This is a pain and makes it tedious to compare tweaks in the individual strategies and their effects on the master equity curve.

Forum Mgmnt
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Post by Forum Mgmnt » Mon Sep 18, 2006 1:45 pm

Yes, you can do this. This was part of the design for the simulation engine when the fist version of the product was first created over five years ago so it is quite natural and easy to do.

You can specify a portfolio for each strategy and you can test multiple strategies at the same time, you can also specify the mix of equity assigned to each strategy, i.e. 30% to Metals, %20 to grains, 30% to softs, 20% to interest rates, etc. You can even combine strategies using portfolios of differing asset classes, i.e. one for stocks, one for metal futures, another for forex trading.

The test output will be on the combined set of portfolios and strategies.

- Forum Mgmnt

rabidric
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Post by rabidric » Tue Sep 19, 2006 6:05 am

thank you. excellent.

ok 1 other question, although different from the topic title:

I do not need tick data, but i like to use intraday bars (30min-1hr closes )to control trade risk at point of entry
e.g. i don't necessarily have a 0.5atr fixed stop, but if i am offside for say 2 consecutive 1hour closes on the entryday i will exit, same for getting in early if the mkt has broken through a daily entry level, rather than wait till end of day. this raises problems with EoD data if i enter early then exit early on the same day.

does TB support intraday data in testing, or do i have to stick with end-of-day data?

in the application of turtle system, in order to get around EoD limitations, i do understand it has a function for "no exit on day of entry" to avoid erroneous presumed exit triggering. unfortunatley i do require the ability to use intraday data(or some other work around), so that i can exit on the day of entry if need be.

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