Portfolio Level Trading Analysis

Discussion in 'Trading Software' started by ladidalimey, Nov 1, 2006.

  1. Hi,

    I am wanting a software similar to Tradestation, but with Portfolio level analysis and optimization, both daily and intra-day. At present, the only option seems TS8 + Rina PortfolioStream.

    TradingBlox would do if it included intraday, but it does not. Same problem with Mechanica.

    Any other options out there - from sizable software houses, not mickey mouse.


  2. TS8.1 alone will do the job .... look again it is in there, best in the market IMHO.
  3. Wealth Lab Developer
  4. Where??? I've never seen it.

    I built my own program to take TS data and combine into a portfolio view. I didn't trust the math in the 3rd party products I tried!
  5. Murray Ruggiero

    Murray Ruggiero Vendor

    TradeStation 8.1 does not have portfolio level testing and optimization. It still requires an addin to do portfolio testing from Rina.

    TradersStudio will allow you to do portfolio level testing and money management. It allows end of day testing and intra-day off line testing. If you have CSV files with intraday bars you can do portfolio level testing and dynamic money management.

    Take a look at TradersStudio.com. We handle 1,5,15,30,60 min bars.

    The cost is only $499.00!.
  6. Amibroker..highly recommended
  7. a5519


    For EOD backtesting there are some alternatives.
    I would mention TradingBlox, TradersStudio, QuantDeveloper, WealthLab, Amibroker, Tradestation+Rina.

    The WealthLab, Amibroker and Tradestation+Rina
    are based on already obsolete SW architecture and their capabilities for portfolio testing are limited.
    By obsolete architecture I mean that portfolio testing is based on processing all instruments one by one for the whole
    price history and in the 2nd step performing position sizing, taking into account portfolio some constraints.
    It's not that such approach is completely useless but you will run very soon into limitations, if you want to analyze risk control
    strategies on a portfolio level. The problem is also combining multiple trading systems in backtesting.

    On the other hand, TradingBlox, TradersStudio and QuantDeveloper makes it possible true portfolio-level testing, but also have their
    own advantages and disadvantages. First of all they are relatively young and have rather limited user base.
    This has influence on stability and the number of bugs. QuantDeveloper is very attractive due to the possibility to use .NET programming
    languages. This means max speed and flexibility. The concern is the maturity of the SW. TradingBlox and TradersStudio are
    comparable in functionality but not in price. The drawback of both is that data sources are accepted mainly in text format,
    no access to data in native format of popular data providers over API.

    So the selection is not simple and has consequences because mastering the advanced features of any of these tools requires some time
    and therefore frequent switching from one to another tool is not practical.
    For eod, I would look may be more carefully to TradingBlox and TradersStudio.
    Both in one, eod and intraday is even more complicated story.
  8. Murray Ruggiero

    Murray Ruggiero Vendor

    To clarify TradersStudio supports intra-day charting and backtesting including portfolio level testing and money management.
  9. Indeed. TS does not have any portfolio level testing out of the box, but the possibility is simply there with very little effort for the laborious mind. HINT: Radar Screen + EL.

    There you have it, I just gave you a piece of info worth $4994

    The real problem could be more to do with the "SW architecture" as mentioned by a5519.

    But the combination of 'unlimited' intraday historical data + scripting language, all in one place could be very difficult to beat, regardless. And of course add to this the abilility to generate the actual real-time trading signals with the same code used to backtest - priceless.

    Happy testing.
  10. I confirm what pan has said about amibroker. Ive used it on databases carrying 10000 symbols without a problem. I have used the position sizing without a hitch.
    #10     Nov 1, 2006