Developing Trading Systems on a basket

Discussion in 'Strategy Development' started by Murray Ruggiero, Sep 8, 2005.

Do you trade a portfolio based system ?

  1. Yes

    19 vote(s)
  2. No

    6 vote(s)
  1. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    After years of developing trading systems, I have come to the conclusion that except for cases in which we have fundamental based strategies, which might only work, on a given market because of strong fundamental reasons, Systems need to be developed on a basket of markets to be reliable.

    There are two different ways this helps. First by developing system on a basket of markets and testing them using the same set of parameters we have more trades and less of a chance of curve fitting. You might say that well, if I trade related market then that does not really help. Believe it or not even related markets are not as related as you think. One example is in my work with the stock indexes I found that some systems, which trade both the S&P500 and the Nasdaq, when we combine the equity, curve we only have a 10% increase in drawdown and the profit of both. Another example is how many of you have tested a system on Crude oil only to find it loses money on Heating oil or Unleaded Gas?

    This leads me into my other point and that using a diversifying a portfolio, volatility risk is greatly reduced.

    When I designed TradersStudio this was one of the main issues I had with existing software. Yes we have other products, which are addins to TradeStation. We do have some platforms which say that can optimize a portfolio but, they either have a difficult interface, which requires a lot of work from the user or can't give you access both to the portfolio level and individual market level, for example if you have two similar performing areas of the optimization surface, you might want to be the one which as a grain which is tradable. I designed TradersStudio to do this with just a few mouse clicks.
    I did a presentation on developing portfolio-based systems; it is available as a free tutorial on The link is

    It requires Registration on the site to be downloaded. It is a PowerPoint® presentation with Excel Spreadsheet links. I want to make a point about our registration database. We do not sell our list. It is to update you on what we are doing at TradersStudio® , give you special offers on our products and give you free information, tutorials ect. Our privacy statement link is


    In addition we have free tutorials on how TradersStudio works on our front page and you do not have to register for them. Please view them and you will see just how easy it is to build a basket system.
  2. Choad


  3. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    My Article are often meant to discuss a given method, teach a concept ect, I am not developing commerical systems. One example is that in many articles I have done on Intermarket Analysis I might just show the results using the Ten year note , but the system was tested on , Muni bonds,Ten years note,Thirty Year,5 year,2 Year but I did not show this because they only give me 2 pages.
  4. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    I can't believe that not more people what to discuss trading a system on a basket of markets. Most future traders trade basket system even if it is just the currencies. I am trying to add value here.
  5. What is the best website to trade a basket of commodity markets?
  6. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    What do you mean best web site ?
  7. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    It is available , it is only 8.95 at If you are going to use it at least you can make it go to a real web site.
  8. What is the best trading web site that enables the traders to create the baskets of commodities & to trade them?
  9. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    I don't know if I agree with 80 markets but depending on the system. For a trend following system I would say you want to test on baskets of at least 30-40 market. The problem is some market are very liquid. You can do initial testing, on 25-35 market and not include too much overlap for example don't include the Yen and Swiss Frank together.

    Other times you might 2000 "Stocks" when developing a system, so then you have millions of trades. If you are developing a system using intermarket analysis on the energies or a interest rate system you might only have 4-6 markets. That ok if the system is strong fundamentally, because you can't do any better.

    How do you develop basket systems. What software are you using ? . TradersStudio was designed for developing basket based systems and you can view the optimization both at portfolio level and the individual markets with a mouse click.
    In addition you can export your TraderStation code and do porfiolo analysis in TradersStudio.
    #10     Sep 10, 2005