Portfolio Software

Discussion in 'Trading Software' started by clarodina, Apr 29, 2008.

  1. Hi anyone has good recommedation on softwares which has portfolio backtesting features like testing a system on many securities. Good if compatible with ts2000i. Tks.
  2. lindq


    InvestorRt at www.linnsoft.com

    Backtest portfolios. Not compartible with TS, as it is a stand alone product that competes with TS. (Not that TS even comes close in backtesting portfolios.)
  3. I'm a fan of both Amibroker and Tradersstudio.
  4. Multicharts has a portfolio backtester. Multicharts also uses EasyLanguage so you probably only need minor modifications to move your code over from the older platform.
  5. RINA also has Portfolio Stream if you want to test a portfolio of symbols simultaneously instead of viewing a portfolio of systems you've already created...
  6. Hi clarodina,

    If you want a tool that would realistically emulate the way portfolios work, try MultiCharts. There are several ways to run portfolio backtesting.

    1. Test every symbol separately and then ‘merge’ the results. However, simply merging the results doesn’t make much sense because the available capital is always limited and this kind of backtesting doesn’t know how to factor in those limitations.

    2. Another approach might seem more advanced. It involves testing all the symbols separately and then discarding the strategies that don’t meet the capital limitation requirements. This approach doesn’t make much sense either because having discarded a trade you have forever lost an opportunity to enter the market on that trade – even if you had the money to do so the next day. The system can’t enter that trade, though, because a set of trades has already been determined and their number can only be cut down. This approach proves useless as well.

    3. Analyze all the symbols on each bar and check how much capital is available and what positions there might be open. As soon as the strategy says that it’s time to enter the market and that there’s enough money to do so, a position is opened. This approach allows creating realistic portfolios and implementing the valid money management.

    Conclusion: All the programs that simply merge data from separate symbols create nothing more than an illusion of a portfolio. It will become obvious if you compare the way backtesting functions to the behavior of traders in real-time.

    Best regards,
  7. I am using the Pro version of Trading Blox. Very happy with it, can fully recommend it.
  8. I evaluated Trading blox software , it has very good portifolio testing capabilities , in addition to many other great features.

    If any existing owner of 'trading blox' is not using the software and interested in selling the software please let me know , I am interested to buy.

  9. MGJ


    I also use Trading Blox and I am also very happy with it. I'm pleased that I can feed it intraday data (I've become quite a fan of one minute bars), and that I can test a "Suite" of several different strategies, each strategy in the "Suite" trading a portfolio of many instruments. (The portfolios can be identical, or different, whatever you prefer.)

    It's also blazing fast, which helps immensely when you want to make a parameter map with lots of detail, such as the image below, which I copied from this post: http://www.elitetrader.com/vb/showthread.php?s=&postid=1509294&highlight=map#post1509294

    #10     Oct 15, 2008