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Platforms that support true portfolio backtesting/trading?
I've been using MultiCharts for algorithmic trading for years, and I couldn't be happier with it. My strategies are based on some simple but effective mean-reversion concepts from from Larry Connors, Keith Fitschen, and others. I posted my overall thoughts about MC here:
I'm surprised that MultiCharts isn't getting more love. I started using it six years ago based on a video review that Big Mike did comparing MC and NT and haven't looked back.
I can't speak highly enough about MC. It's generally …
MultiCharts has a feature called "Portfolio Backtester." This lets you input a list of symbols (e.g., the individual symbols in the Nasdaq 100), apply an algorithmic strategy to that portfolio, and then run a backtest on the portfolio as a whole. It then simulates those trades and provides a backtesting report that shows overall profitability, account size required, drawdown, etc., for the portfolio as a whole. (Like Portfolio Maestro in TradeStation.)
In 2014, they upgraded this feature to "Portfolio Trader," which is what I use now for my bread-and-butter trading strategies. It has the same features as before, except now it can perform live trades on the portfolio, not just backtesting. You just click the "Automate Order Execution" button to engage auto-trading trading for every symbol on the list. This is way easier than having, e.g., 100 separate chart windows, one for each symbol. There's an example here:
Out of curiosity, are there other algorithmic trading platforms that support either (1) portfolio backtesting or (2) portfolio trading? The Portfolio Maestro feature in TradeStation seems to provide portfolio backtesting, but not automated trading. Unless I'm mistaken, you'd need to create a separate chart window for each instrument for automated trading.
(For me, "portfolio trading" means generating a list of related symbols, applying a set of algorithmic signals/strategies to the entire portfolio, and then clicking a button to start auto-trading all of those those instruments in a coordinated way. E.g., you might have a rank strategy that compares the value of some indicator for every symbol and then automatically buys the "ten best" symbols in the portfolio while also shorting the "ten worst" symbols.)
I'm asking this partially because I'm thinking of writing a how-to book on the subject. There are plenty of books out there that discuss automated trading in general, but I haven't seen any that discuss how to backtest and trade strategies on entire portfolios as a group. However, if the other major platforms don't support portfolio backtesting or trading, this might be too much of a niche idea. I'd appreciate your thoughts.
did you ever get anywhere on the tradestation portfolio maestro. ANy advice on how to trade a list of say all the S&P500 equities with my strategy? Can only seem to backtest in Portfolio Maestro
You tend not to see many tools of this nature particularly when it comes to managing a whole portfolio because the majority of people doing this sort of thing are programming it themselves with python. Once you get into python though there's tons of resources about algorithmic trading in python to learn from.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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I haven't checked Maestro recently but last time I looked at it that was still the case. Optimization but no trade execution for portfolio's. In the modern world the whole idea that you have to have a chart open in order to run an automated strategy is dated.
