Can Blox do multi strat portfolios?
Posted: 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.
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.