Any software to test multi-system portfolio performance?

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ezbentley
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Any software to test multi-system portfolio performance?

Post by ezbentley » Mon Jan 12, 2009 7:52 pm

Does anyone know any software package that does backtesting on a multi-strategy portfolio? To the best of my understanding, TradeStation is not capable of this.

I am mainly interested in testing the effectiveness of diversifying different strategies. For example, if I allocate half of my fund to a trend-following strategy and the other half to a mean-reversion strategy, if the strategies have low or even negative correlation, then I can smooth out the drawdown without sacrificing profit, in theory anyway.

Of course this can be done in two steps: test the strategies independently, export the results to excel or any statistical software and do the correlation analysis. But I am just wondering if there is a software that can do all these in one step.

Regards,

Roscoe
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Post by Roscoe » Mon Jan 12, 2009 8:07 pm

I use www.PowerST.com, which will do all that you ask and (and lot more besides).

sluggo
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Post by sluggo » Mon Jan 12, 2009 8:41 pm


alp
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Re: Any software to test multi-system portfolio performance?

Post by alp » Mon Jan 12, 2009 8:41 pm

ezbentley wrote:Does anyone know any software package that does backtesting on a multi-strategy portfolio?
Ask Tim Arnold for a trial copy of Trading Blox Builder, read the documentation, ask for feedback and, finally, decide for yourself.

Adrian77
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Post by Adrian77 » Wed Jun 17, 2009 8:38 am

Tradesim is also capable of doing this type of multi-system portfolio simulation. It is a simulation package which piggybacks on Metastock (www.compuvision.com.au).

You can define any number of systems to trade simultaneously in a portfolio. You can specify (with a little creativity) whether to trade all contracts with all systems or to trade a different group of contracts with each system. It is also possible to combine a systems which work on different timeframes (e.g. daily bar system with a weekly bar system). When running the simulation you can then specify which position sizing model to use for each system (assuming you use the Enterprise edition).

The main drawback I have found is that it is difficult to specify conditions like "trade 50% of my equity with system 1 and 50% with system 2". The program treats the equity as a pool used by every system in the simulation, so it keeps taking trades regardless of the system used to generate the signals until the equity is used up (or the max heat is reached etc).

AFJ Garner
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Post by AFJ Garner » Wed Jun 17, 2009 12:51 pm

Adrian77 wrote:It is a simulation package which piggybacks on Metastock.
I use Metastock solely for viewing charts and I have a version about 7 years old, so I guess I may be a little out of date. To say that Metastock was a little inadequate as far as back testing is concerned is rather like saying that gluons or atoms are a little small.

I can only say that Trading Blox is likely to be able to do everything you want to do and lots, lots more.

It is a superb piece of software. No other way to describe it.

danZman
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Post by danZman » Wed Jun 17, 2009 2:39 pm

Trading Blox does this quite well. If you just need really basic software for Tradestation, MSA from Adaptrade works OK.

D

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Post by Roger Rines » Wed Jun 17, 2009 3:01 pm

Adrian77 wrote:Tradesim is also capable of doing this type of multi-system portfolio simulation. It is a simulation package which piggybacks on Metastock (www.compuvision.com.au).
TradeSim's operation is more of test result blender and analyzer rather than a Portfolio Suite Tester. It is limited to a blender because it is dependant upon MetaStock to make the actual trade test decisions that it then accumulates results so it can analyze and report its findings in a broad range of areas. It is also an impressive looking program that seems to work very well.

However, Trading Blox is head and shoulders above a Portfolio Result Blender and Analyzer union because it provides the ability to actual influence how the decisions are made on each date for each market so the results of each date's market test can influence the results generated for each date in any of the other markets in the portfolio for that date.

It has this ability because it performs its testing in a horizontal date sequence instead of a vertical market sequence where all the dates in a market are tested before the other markets are tested.

This means TB will process each date for all the markets in the portfolio before it will test the next date in any market. At the end of that date's testing it will allow the testing to modify any decision it made on that date in any of the markets before it logs that decision into its results.

This is near reality system testing. For example, we don't know what tomorrow will reveal, but we have to make all the trade influencing decisions today for all the markets. Our reality limits our decision making to only what we know as of today's date. This means we can decide issues of correlation, open position counts, risk levels, market rankings, position sizing, scaling, system equity distribution, draw down, etc. resulting from today's action before we place tomorrow's orders. Then if tomorrow's orders work well, or don't work as expected, we can place orders we might have rejected yesterday because of other orders placed failed in any other markets, or remove orders because more orders got filled than we wanted, etc.

If you want to have the ability for near reality testing, and understand how the areas mentioned above can make or break a trading plan, the only platform I know about that will provide that kind of performance is Trading Blox.

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