I am trying to put together a system that allows me to monitor and manage different strategies within my account. Let's say total equity is 100%. For sake of simplicity let's say we have 10 strategies (1. trendfollowing 2. break out 3. dip buy 4. covered call selling 5. etc.) that each represent 10% of equity volume on day 0. Let's say we have ~500 open positions at any time after an inital scaling in period. What do you recommend to monitor the performance of each sub strategy? I am particularly interested in a) equity exposure/time b) leverage c) % performance, sharpe ratio d) cross correlation between strategies for every strategy for diff. periods (day, week, month etc.) Does any software (available to retail people like myself) allow of "shifting" of funds inbetween such strategies while keeping a record of the performance etc? I guess basically what I am looking for is a software to manage my own "fund of funds". What's out there?
i use excel, its pretty powerful, but i guess you are looking for something more fancy..excel will get you up and running fast
If your strategies are coded in TradeStation, look into Rina Systems. It is expensive, but well worth the money imo.
I'm looking into Excel right now. Are you using VBA with Excel to get what you want or are you just using the bare bones Excel functionality? E.g. is there a reasonably simple way to accurately account for "Shift 50% of funds from Strategy #1 to Strategy #7" problem in Excel?
Bookmarked these two websites but their software feature description is bare bones at best: https://www.hedgefacts.com http://www.mechanicasoftware.com
just bare bones excel, no vba, but then again im not doing anything "too fancy"..not sure how to solve that particular "shift 50%" problem in excel either, might require some creativity in excel..