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At 05:26 PM 3/10/98 -0500, William Brower wrote:
>At 07:55 AM 3/10/98 -0800, you wrote:
SNIP
>>"Portana Portfolio Analyzer" was an Omega add-on that claimed to track
>>a trader's portfolio and to allow a trader to test trading systems
>>across multiple tradeables.
SNIP
>I use Portana for simple portfolio simulations. Its advantage is its speed
>and low cost. Remember, it is still a DOS product. I reviewed the product
>a long time ago in TS Express and still find it to be a valuable tool.
____________________________________________________________________________
__________
Another portfolio analyser product is "PortfolioPro 1.1" from Aztec Trading
Research Inc. viewable at: http://members.aol.com/shalfpenny/index.htm .
It's reasonably priced, $249. You can download a demo off the Aztec website.
An example report generated by Aztec's PortfolioPro v1.1 on a portfolio of
TS based mechanical trading models follows below. PortfolioPro v1.1 is a
handy tool for analysing a portfolio's performance.
**********************
*** PortfolioPro v1.1 (c)1996 - Aztec Trading Research Inc. Page 1 ***
*** Date : 11-29-1997 Time : 12:28 Test Period : 750619 to 971128 ***
*** All figures shown with $100.00 deducted for commission/slippage ***
A L L T R A D E S
-------------------
Total Net Profit $ 1051875.00 Percent Break-even 0.1%
Gross Profit $ 1652875.00 Gross Loss $ -601000.00
Total # Of Trades 730 Percent Profitable 50.7%
Number Winning Trades 370 Number Losing Trades 360
Largest Winning Trade $ 29681.25 Largest Losing Trade $ -6450.00
Average Winning Trade $ 4467.23 Average Losing Trade $ -1669.44
Ratio Avg Win/Avg Loss 2.68 Avg Trade(Win & Loss) $ 1440.92
Max Consec. Winning Trades 12 Max Consec. Losing Trades 11
Max Consec. Winning Days 9 Max Consec. Losing Days 9
Avg # Bars In Winners 71.0 Avg # Bars In Losers 18.6
Profit Factor 2.75 Max #Conts/Shrs Held 1
Max Drawdn $ -27812.50 on 950901 Longest Flat Time 45 on 840725
Absolute Net Profit $ 3255668.75 Absolute Percent Profitable 95.1%
Absolute Avg Trade $ 4459.82
Maximum Adverse Excurs $ -3762.50 Maximum Give-Back $ 13225.00
Average Adverse Excurs $ -718.04 Average Give-Back $ 3216.47
Average % Give-Back 41.9%
Reconciliation of TradeStation vs. Portfolio Pro on WCT DIV Trades
TradeStation total results
WCT-BP 193,437.50
WCT-DM 107,025.00
WCT-JY 132,525.00
WCT-SF 137,575.00
DIV-BP 158,650.00
DIV-JY 148,300.00
DIV-SF 146,575.00
Sub-total 1,024,087.50
Open trade equity 28,487.50
TS Total 1,052,575.00
Portfolio Pro results 1,051,875.00
$100/trade costs 700.00
PortPro Total 1,052,575.00
Michael Paauwe
mpaauwe@xxxxxxxxxx
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