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best bet would be Rina.
portfolio stream, and portfolio evaluator
will do port testing. be ready to fork over
thousands.
portfolio tracker is the real time port tracking
tool for ts2000i only. graph equity curve etc...
i myself don't really care bout portfolio testing
since my portfolio is dynamic...
but i do care bout portfolio tracking in real time
in ts pro... but tracker only works with 2000i for now.
other approaches would be excel / access and hashnumbs.
you can fairly easily code a spreadsheet and get it updated
off the charts per bar and compile your equity curve,combined
p$l etc... hashnumbs has an example of how to do it in excel.
coupled with access that would be the best bet since you
are not dependant on some vendor.
i heard that next pro version will have a portfolio tool built in.
i also hope that they will be smart and allow autofill for entry and
exit price either straight from the systems orders or/and execution bar...
let's see how smart they are bout that :-) else you'll get tired of
entering those entry prices manually in there...
i am going the excel/access route for max flexibility...
bilo.
ps. i talked to rina programmer and ask him to include autofill feature
in next version of port tracker for Pro. he said he will but who knows
when the open platform api will come out.
i also heard that pro sdk will not be as good as 2000i sdk... limited...
which is contradiction to the term "open platform".
----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, March 28, 2001 12:17 PM
Subject: Portfolio testing
> 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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