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Portfolio Maximizer really doesn't do a PORTFOLIO analysis. What it does is
combine individual equity curves and merges individual trade lists. What it
doesn't do is recognize when short and long trades net out against each
other because of trading multiple systems in the same market (one system is
long while another system is short the same market, at the same time). So,
drawdown analyses are wrong at the porfolio level. It also doesn't support
portfolio level money management - i.e., determination of how many contracts
to trade, based on current acount equity and current trades that are open.
You might want to allocate your capital among currencies, interest rates,
energy, etc. So that if you have x contracts of currencies open you might
not want to take more trades in currencies, so you only take trades in your
other markets until you reduce the number of currency contracts you have
open (by exiting one or more positions). No help from Portfolio Maximizer
on asset allocation.
To use Portfolio maximizer from TS, you have to save each system report and
then combine the system reports together into a portfolio. Numerous manual
steps, and files to manage. Of course, I'd be happy to do this if I thought
the results were of great value. I feel the results are only of limited
value, and no longer use the product. Maybe TS2K offers something better -
all my comments pertain to Portfolio Maximizer in conjunction with TS4.
Paul Zislis
----- Original Message -----
From: Chris Emery <cemery1@xxxxxxxxxxxxx>
To: Omegalist <omega-list@xxxxxxxxxx>
Sent: Saturday, May 20, 2000 5:13 PM
Subject: Portfolio Maximizer
> Does anyone have any experience with Portfolio Maximizer? My
understanding
> is that it allows for combination of strategies for different windows..is
> this correct?
>
> Thanks and Regards
> Chris
>
>
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