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> Yes.
> The lack of portfolio capabilities in TS ( that were existing in SWP) is
a
> weak point.
> You may rely on Rina systems tools or build your own at this time.
>
I don't think so. Say you built a system that scaled (normalized) the
position size according to the inverse of volatility. In my opinion this is
the ONLY legitimate way to do it. Strangely enough, not too many people
understand why.
For example, say you developed a typical single-contract system for the
daily SP. Say this system produced a typical drawdown of 10K. Trouble is,
back in the early 80s the SP moved only about 1 point per day whereas now it
moves about 20 -20 points. So in reality you would have been trading about
20 - 40 times the contracts back then as you would now for a given account
size to get the same leverage. And your real drawdown back then would have
been 200K - 400K, not 10K as your single-contract development would suggest.
Unfortunately Rina completely misses this point. Their software cannot
accomodate a variable-size simulation output from TradeStation. At least
this was the case last time I checked. Here we have an entire company
(industry actually) founded on a risky technical misconception.
Fwiw, Phil
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