* you offer true portfolio backtesting? (running multiple strategies over the same identical time series data and have strategies compete for capital and impact overall risk? * The tests can run on top of tick-based time series with millisecond or even small-granularity time stamps? * Does your system support plugin ability, meaning that I can write my own performance evaluation plugin and have that run and updated? * Does your application support stocks, currencies, bonds, index/singe-stock/currency/commodity futures, equity/index/currency/futures/commodity options? * How do you handle non-base currency denominated assets, especially currency positions in terms of performance evaluation?
* What do you mean with "dynamic margin" specifically. You mention the term on your website, though (having worked on the hft side), I can assure that this is not an industry standard term. It neither appears in any results of a google search. Can you please elaborate?
We are currently off line with intra-day backtesting down to 1 minute bars. Otherwise we have all those other features.
so I am confused, your software does not offer tick-based backtesting but then on your website you toute "dynamic margining" (which I still fail to understand what that actually means) and state that it heavily assists those engaged in the high frequency trading arena. I just do not seem to reconcile those. Can you also please point us to links on your website or documentation that deals with * portfolio backtesting * plugin abilities to, for example, run my own customize performance evaluation plugin * a reference which asset classes your software supports * how non-base currency assets are performance evaluated and how profit-loss is translated back to a shared base-currency I could not find the above anywhere mentioned in detail on your website which is why I was asking in the first place. Thanks
I don't discuss my software is for HFT anywhere on the site. In fact I have been on panel on the topic and am on the negative side. I think HFT puts the market at risk and someday it will be much worst the the flash crash. In terms of your other questions , I will answer some now and the rest tomorrow. Here the answer to the first one, Dynamic margin is a Volatility based sizing click here to see a discussion on out blog. We discuss how you can trade portfolio with TradersStudio Here
hmm, you used the term " hft" directly on your website where you describe "dynamic margin" (http://tradersstudio.com/why-tradersstudio/). The term must have been "adjusted" and exchanged for " algorithmic trading" as I do not see it mentioned anymore. In any way you probably meant "optimal position sizing" as function of account balance when you use the term "dynamic margin". Thanks for the link to the portfolio testing clip. If you could still please provide information as you promised tomorrow on the following topics that would be terrific: *plugin capabilities *which asset classes exactly are supported * how non-base currency asset p&l is exactly handed and translated to base-currency
You will use a currency data file and attach it using the data manager to a given futures data file and once that is done when both files update , you can run a system and it will automatically do the currency conversion. You can write any COM dll, We take arrays of float reverse order, 0 is most recent for any bararrays passed. There a big API which allow you to write systems,indicators,functions and macro's. You can even add to the menu's. In fact our Genetic optimizer is a Addin written in C++ and VB.net. We have support , for (Equities [Stock,ETF's]),Futures and Forex with the interest carry. Our stock analysis is the best, we have full handling of split and dividends and you are buying at real prices and don't need to buy the same dollar value across a portfolio to get the correct results. See our blog posts on this topic Click Here for Part1 Click Here for Part2 Click Here for Part3 I can do some tutorials and video's on these topics when I get a chance.