Rules based portfolio simulation system

Discussion in 'Strategy Development' started by Eckstreme, May 5, 2013.

  1. Eckstreme



    I'm a new member and am hoping on some advise for selection of a rules based portfolio simulation system.

    My plan is to set-up some relatively simple tests using the following requirements.

    - End of day pricing data - I have ample access to data so as long as I can load it into the system I'm happy.
    - I am planning to specify buy/sell/short/cover triggers for a universe of securities based on factors I define.
    - I need to be able to specify positions size based on total weight in the portfolio. E.g. my portfolio should hold 10 securities of equal market value > the position size per security should be 10%. I do need the flexibility to specify dynamic position size.
    - I can not program so the system should have a formula builder/library I can use to specify my rules.
    - I'm willing to pay for a system which can do this but want something reasonably affordable.

    Hope anyone can point me in the right direction. Your help is much appreciated.

  2. Trading Recipes by mechanica was the old school solution for years, but required some ability to write code (it was DOS based).

    There have been a couple threads about this, you may find them useful.
  3. Eckstreme


    Thanks for your help Wide Tails. I've had a look at Trading Recipes but it seems my coding skills are too limited to use this for the testing I have in mind.

    I've also had a look at Stratasearch as recommended by an other member via PM but that has no functionality for position sizing or simulation in a portfolio context. It seems like a great tool for trading indicator discovery though nut that's not really what I'm after at this stage.

    Obviously I've been doing some online research into what software package would meet my demands but so far it seems most packages which don't require a high degree of code writing don't allow the portfolio construction features I'm after. Or they only include some kind of portfolio construction function and lack the rules based selection/trading trigger set-up (e.g. Smartfolio).

    In addition to the requirements as per my initial post, I'm interested in including a relatively simple mean/minimum variance optimization approach to the portfolio construction process. No need for complex multi-factor risk modeling, a simple historical covariance and variance approach should work for me.

    I actually know FactSet would offer tools which allow me to do exactly what I need but their license would be way too expensive.

    Am I looking for something too specific and complex given my lack of programming skills? I am actually considering to look into learning to program in R but realistically it will be years before I would have developed something which comes close to my required functions.

    Any help/ideas would be very welcome.