Lately I have been reading some 1980's - early '90's books by Lebeau, Babcock, Lukac, (i have adopted the "nothing new under the sun" philosophy) and boy am I glad that today we have software like Trading Blox. What a nightmare running tests and optimization studies on individual, 1-contract positions would have been (was this information even useful?...). And trying to figure out portfolio performance statistics?!...wow. I cant imagine the tedious work stitching all that information together. If it was even realistically possible.
Thank you Trading Blox!
I wonder what is the next generation of trading software?...
Portfolio simulation capabilities
Omega Research's first software product, in the early 90's, was called "System Writer Plus". It included portfolio testing. But they gradually phased out SWP around 1995, in favor of their second product "SuperCharts / Tradestation", which did not include portfolio testing. Tradestation was a hugely successful product and its competitors / imitators decided to copy this omission. After all, it's easier to leave something out than to put it in. And Tradestation was dominating the industry while leaving it out. Who's gonna argue with success?
Starting in the middle 1990's there was commercial software available which did portfolio testing, dynamic position sizing, etc. But it was not marketed as aggressively as Tradestation, it cost 50% more, and it was only able to run with End-Of-Day data. Tradestation could run with intraday data. The combination of these factors resulted in huge sales for Tradestation, and far fewer sales for the competitor (Trading Recipes).
If you're really interested in how people used these programs in the mid 90's, google around for the add-on product "Portana" by Tom Berry. It helped Tradestation users get an approximation of portfolio level testing. Read the books of Joe Krutsinger (Tradestation + Portana) and Neil Weintraub (Trading Recipes).
Starting in the middle 1990's there was commercial software available which did portfolio testing, dynamic position sizing, etc. But it was not marketed as aggressively as Tradestation, it cost 50% more, and it was only able to run with End-Of-Day data. Tradestation could run with intraday data. The combination of these factors resulted in huge sales for Tradestation, and far fewer sales for the competitor (Trading Recipes).
If you're really interested in how people used these programs in the mid 90's, google around for the add-on product "Portana" by Tom Berry. It helped Tradestation users get an approximation of portfolio level testing. Read the books of Joe Krutsinger (Tradestation + Portana) and Neil Weintraub (Trading Recipes).