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Platforms that support true portfolio backtesting/trading?
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Platforms that support true portfolio backtesting/trading?

  #1 (permalink)
Seattle, WA
Trading Experience: Advanced
Platform: MultiCharts
Broker/Data: IB/IQFeed
Favorite Futures: ES
Posts: 24 since Dec 2010
Thanks: 27 given, 18 received

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:

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.

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