portfolio of systems testing

Discussion in 'Strategy Development' started by DT-waw, Jul 30, 2002.

  1. Is there any software, which can test different systems as a portfolio? For example, I want to know what results I'll have by trading Sys1, Sys2 and Sys3 on ES futures simultaneously.

    Thanks
     
  2. ddefina

    ddefina

    Here is a snapshot of Wealth-Lab testing 9 different systems on the June ES 15 minute data. After the summary report is printed you can click on each system and get the full peformance detail, charts, etc.
     
  3. this is not what I'm looking for.
    I want to see one net profit, max DD figure, etc. for multiple systems traded at one time as a portfolio
     
  4. rcreal

    rcreal

    From what I understand, Behold! (mac only) does this.

    Also, Trading Recipes has portfolio features.

    Visit the forum at

    -->> http://www.traderclub.com

    The folks there discuss these programs regularly. The search feature will pinpoint specific posts for you.

    Cheers!
     
  5. Saskia

    Saskia

    From what I understand Behold is Mac and Trading Recipies is DOS (yes DOS software not WINDOWS). Wealth Lab can do it too and is best on W2000 or XP. We use it here for a little bit of trading.

    Saskia
     
  6. Thanks rcreal. But I can't use Behold and TR...
    Can Wealth-Lab really do it?
     
  7. ddefina

    ddefina

    PM Glitch on the boards here. He can tell you for sure.
     
  8. wdienstm

    wdienstm

    Hi,

    i have still the same problem, i found out that Wealth-Lab have not this feature by his own.

    But a solution is, to write all your systems in a big new one, which is possible in WL.

    I couldn't find a reporting tool, where i put in the different single results from WL and get a single report back. :-(

    Wolfgang
     
  9. Many traders dont realize that when you trade multiple systems together, your profits will be the same as if you traded them seperately and added the individual system results together.

    For example, if you have 20 systems and you wonder how you would have done trading them all together in an account, simply sum the profits of the individual systems.

    If you take the daily p/l's from each system and combine them, you will get the daily p/l for the portfolio. from this, you can measure drawdowns.

    I would suggest a spreadsheet with the first column being the day. Then the next several columns being the daily results with 1 column per system and finally a total colunm. If you graph the total column you will clearly see the drawdowns.

    I hope this helps
     
  10. Yeah, But how do you account for the fact that one system may get you long, and the other short? So the second system thinks it's entering short when in fact it is closing out system 1's long? And then what the heck does system one do when it is looking for it's long to close? Too bad fella, system two already closed it for you.
     
    #10     Aug 18, 2002