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> A barely-acceptable subset, for what I want anyway, would be to
> support 1 system on M markets, all using the same parameters, and
> support only one timeframe. If I have to, I can combine the N
> systems together after the fact, though that kills the portfolio-
> level money management. But I suspect N systems on M markets would
> be a fairly simple extension of the basic model, if you design it
> that way from the start.
>
> BTW a tool already exists that does most or all this -- Trading
> Recipes. But it has no charting module and (so far) no intraday or
> realtime abilities. I want to be able to SEE my system as I develop
> it, AND execute it on the same platform, the way I can in TS.
I have searched quite a bit, going back to 1995 in some cases, in
archives of trading-related mailing-lists, Web-forums and newsgroups,
for references to portfolio trading. I have found only a handful of
posts about the subject and even fewer which seemed to put it in correct
context.
I've looked at the commercially available software, which I saw being
mentioned wrt "portfolio" trading. My conclusion was that, with the
exception of Trading Recipes, none was doing true portfolio-trading,
i.e. trading the markets in dynamic interaction, with position-sizing &
risk management at the portfolio level. Instead they were just adding
closed-trade equity curves! This latter category includes products by
RINA (see the report on RINA being based on flawed concepts which
appeared in this list a few months ago) and the "portfolio" Excel sheets
being passed around.
Regards, M.
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