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Hi Gary
I had the same problems with intraday data. Even with Rina's Portfolio
Evaluator and MM they have very limited solutions. Because even though you
can export systems to Rina for comparison the comparison tools are just so
basic - its just a summary page - that's it - with a few headings and then
COMBINED stats for the rest. The first ratio is RINA Index which comes
before Sharpe. Who's heard of Rina Index - answer no one. Most equity fund
managers wouldnt know what a Sharpe ratio is because it doesn't suit their
marketing purposes - efficiency ? smooth equity curve? whats that ? Its far
more convenient for them to make comparisons with the index - however poor -
ho ho.
So I do 2 things. Extract all the information for each system from Rina
system reports exported as spreadsheets and them score the systems against
each other in another spreadsheet - maybe 70 headings/ratios (I have over
100 systems in the sample) This gives me a relative scoring - rarely do the
systems which I like most come out on top over extended time periods!
Secondly and by way of comparison I import the OHLC data into excel as an
ascii file - 10 yrs of data on 60 minutes will take up 20,000 rows and in
the next columns code the system, stats, etc.. On following sheets have all
the analysis, graphs that you want. Its a good deal easier to change parms
add analysis such as distribution, make comparisons and customise what you
want - whats more it forces you to simplify your code and what an eye opener
thats been. This way you can run the same system (or different systems)
on any number of markets and compare results - of course unless you have a
dll which feeds realtime data into excel you wont get realtime results but
thats a bit beyond my meagre skills -
Regards
Michael
----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, March 28, 2001 10:54 PM
Subject: Re: Portfolio testing
> I forgot to list Trading Recipes as one of the alternatives, and
> several satisfied TR users have recommended it.
>
> Unfortunately TR suffers from the same problems as PowerST: EOD
> only, no charting app so I can't debug my systems visually (which I
> find very useful), etc.
>
> Right now almost all of my trading relies on intraday data. I want
> to add EOD into the mix, but any portfolio that supports EOD only
> forces me to ignore the lion's share of my trading. That won't do.
>
> Gary
>
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