Developing Trading Systems on a basket

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

Do you trade a portfolio based system ?

  1. Yes

    20 vote(s)
    76.9%
  2. No

    6 vote(s)
    23.1%
  1. Hi Murray

    Question for you, does TradersStudio allow for:

    a)
     
    #21     Sep 15, 2005
  2. Hi Murray

    Question for you. I understand that I can define the basket of stocks and then apply a system uniformly to that basket and see the portfolio result.

    However, can part of that trading system be the selection of the basket?

    For example, my global universe is the S&P 500. Every quarter, screen for the most volatile stocks in those 500. Pick the top 100. Then of those 100, apply a system to them.

    I could go back and do the initial screen myself, to get the 100 stocks and then test each quarter. But it would be really cool if the basket selection process could be applied over time.

    Thanks
     
    #22     Sep 15, 2005
  3. Murray Ruggiero

    Murray Ruggiero Sponsor

    Here what you could do , Test on the complete basket. Then use the global macro language to filter the trades from the basket and produce reports of just the filtered trades. An example of the power of the global macro language is that.

    We used this global macro concept to create a walk forward optimizer. The macro exported all the results to Excel from the databases after running session and then had Excel do more processing and create the final reports. Since TradersStudio support OLE automation to Excel this can be done with programming without any human intervention.
     
    #23     Sep 15, 2005
  4. Is it just me, or has a large number of posts really been deleted from this thread already.

    Nice! :mad:
     
    #24     Sep 15, 2005
  5. It's not the first or the last time they delete posts. This whole site is a joke for the most part but the biggest joke is on all the fools that buy traderstudio. It's nothing revolutionary. TR is still better than this shite. Murray is a joke. He's just rehashing all the old crap to make a few bucks for himself. He reminds me of his old system I-Master, short lived and over optimized.

    Rok
     
    #25     Sep 15, 2005
  6. I didn't like to have my post deleted either from his Intermarket Analysis thread. I thought it was rude.
     
    #26     Sep 15, 2005
  7. I believe that I've had to delete a total of 3 posts from this thread. All deletions were related to keeping the thread focused on the subject. Random rants or unrelated complaints will generally be deleted, since I cannot move an individual message to chit chat.

     
    #27     Sep 15, 2005
  8. You are quite correct, and a couple of the Random Rants were mine - although in one I was challenging a poster to provide us with at least one example when he/she criticized Murray's work.

    However, the one that got my attention was the deletion of a post by another ET'er who criticized tRaiderZZStoodio. That was neither a rant, nor an unrelated complaint, rather the poster's opinion on the product.
     
    #28     Sep 15, 2005
  9. I'm going to split this thread into two: first one with the original subject, the 2nd one to discuss MR and his systems in general.

    Give me a few minutes and we'll be back.
     
    #29     Sep 15, 2005
  10. Hope I didn't butcher the thread too much. Let's seperate the basket discussion from feedback on MR.
     
    #30     Sep 15, 2005