Any software to test multi-system portfolio performance?

Discussion in 'Trading Software' started by ezbentley, Jan 12, 2009.

  1. 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.