Thanks a lot for the good pointers! Yeah droskill and others are great! I esp. like his idea of seeing all the codes competing in doing the same thing -- then we see how differently they behave. For me, it's about the software and more importantly, does it have lots of historical intra data that you can zoom into any point in the past. That's important. Any comments on WealthLab about this? Esp. do they have options data?
Last time I checked, it had the ability to analyze a portfolio but not trade a portfolio - meaning it could run a system across a group of symbols, but treated each symbol separately as opposed to creating a portfolio - if this has changed, let me know - I'm downloading the latest trial for review.
Sure - I mean being able to define the maximum number of positions and trading the portfolio from a single pile of equity.
Thank you. We are speaking the same language. Stratasearch can do what you said. In prior versions it could evaluate portfolios up to 20 positions. The new version enables people to use a custom portfolio size.
couple of things regarding Tradestation (in its favor actually) 1) Tradestation can talk to Matlab. google 'Tradestation Matlab'... 2) Tradestation EasyLanguage can reference user-created .dll's - so if speed/extendability is an issue, this is not perfect, but it does alot certain things to be done... 3) The Tradestation community so large, and there is so much code out there already, that people have come up with hacks/tweaks to do all kinds of things. For example, pairs trading, which can not be done 'out of the box' in TS, _can_ still be done, through use of either the GV.dll or ADE.dll's. Many other examples of this... hope this helps...
I don't think we are - I just downloaded version 4.1 and it has the same issue - there isn't a way to say "here are the possible equities to trade, pick up to 5 of them, and present an equity curve for trading those over time." There doesn't seem to be any logic for position sizing either - I'm still looking at this but the tool still seems very primitive in this way.
You are right about position sizing. Yeah, I suspected we were talking about different concepts after posting my last message. You want to pick five stocks from, let's say, the S&P 500 and run your tests against those five stocks. What criteria would you use to pick that smaller group?