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I didn't want to commandeer Colin's thread :-) but I want to talk
about something similar -- portfolio *testing*.
I want to do basket testing of N systems on M markets -- a
"portfolio" of systems/markets, for one account. Should be able to
handle any mix of systems, markets timeframes, etc. I want to be
able to automatically run the tests in parallel, have the option to
optimize them all simultaneously (i.e. test Param1 with a value X on
all systems, then a value X+1 on all systems, etc) or individually
(different value of Param1 on each system), see portfolio-level
statistics and equity curves, be able to add/subtract individual
tests to see how that affects the portfolio performance, etc.
This TS's biggest weakness IMHO. If TS4 would do that, I'd have very
little need to move to any other platform. I've considered:
* PowerST. This sounds like an awesome package for portfolio
testing. But it's quite pricey ($5k or so) for ONLY that function,
and it is *purely* a backtesting tool. As I understand it, it has no
graphic/charting capabilities at all. That won't work for me. I
*need* to SEE the system on a chart, so I can see what it's doing,
where it's reacting, etc.
* PortfolioStream 2000 from Rina Systems. Looks promising but I've
heard very mixed reviews. Any experience with it?
* TSTrades, from the same folks who do HashNums &etc. This appears
to be a macro add-on to TS that automatically drives TS to collect
data on a bunch of different system tests. It looks like it was
under development several years ago but hasn't been touched since
then. Has anyone looked at it? You can download the beta version
(which I think is as far as it got) at:
http://www.ozemail.com.au/~mikeha/tstrades.html
* Various hacked approaches -- e.g. I have a spreadsheet (from an
unknown author) that allows you to combine the trades from a number
of system runs and see a few stats & the equity curve. You have to
run all the system tests by hand, dumping out data from each one to
be read by the spreadsheet.
* Other trading platforms. MetaStock has a portfolio-testing
capability, I'm told, but the MS trading language is very crude. I'm
looking into what it takes to write a decent system in DLL's. I'm
also going to look at the C-Trader package described in Katz &
McCormick's book "The Encyclopedia of Trading Strategies" and
possibly other trading-simulation packages if I can find any, to
study the possibility of building my own testing platform.
Unless I hear some glowing reports about Rina or TSTrades, I will
probably start fooling with the spreadsheet approach to get it to do
more of what I want.
Does anybody have any suggestions?
Gary
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