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Portfolio backtesting
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Portfolio backtesting

  #1 (permalink)
Just starting out...
Prague, Czech Republic
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: Futures
 
Posts: 1 since Mar 2011
Thanks: 0 given, 0 received

Portfolio backtesting

Currently I'm using the TradeStation with RinaSystems to make backtests on the baskets of futures. Can I make these portfolio backtests with NT, or would Matlab be a more practical journey?

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  #2 (permalink)
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  #3 (permalink)
Elite Member
arizona
 
Futures Experience: Intermediate
Platform: rolling my own
Favorite Futures: ES,CL,GC,6E
 
GoldStandard's Avatar
 
Posts: 211 since Oct 2009
Thanks: 326 given, 190 received


Multicharts or Amibroker would probably be better choices than Ninja for portfolio backtesting. Amibroker is stable, fast, and cheap, and can do portolio backtesting acurately but is not as friendly to non-programmer users. Multicharts can use most easylanguage scripts which might be handy for you with your tradestation background.

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  #4 (permalink)
Elite Member
London, UK
 
Futures Experience: Beginner
Platform: TradeLink, OpenQuant, considering anything that works...
Favorite Futures: if it trades...
 
Posts: 94 since Oct 2010
Thanks: 24 given, 38 received

I agree with Goldstandard somewhat.

You need to be careful with NT in that it doesn’t “natively” support portfolio testing. However, you can develop strategies so they enable portfolio testing. If your strategy really depends on be a portfolio system then you will need to model this in a particular way within NT.

Kind regards,

drolles

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  #5 (permalink)
Elite Member
London, UK
 
Futures Experience: Beginner
Platform: NinjaTrader, home-grown Java
Broker/Data: IB/IQFeed
Favorite Futures: EUR/USD
 
Adamus's Avatar
 
Posts: 1,085 since Dec 2010
Thanks: 471 given, 778 received


smartinek View Post
Currently I'm using the TradeStation with RinaSystems to make backtests on the baskets of futures. Can I make these portfolio backtests with NT, or would Matlab be a more practical journey?

Hi Smartinek,

what portfolio statistics does TradeStation give you? Or Rina Systems (I've not heard of that one)?

When I used TradeStation years back (v4) I exported the trades and imported them into my own app to crunch the statistics I wanted - in particular, account drawdown, inter-instrument profit & loss correlation, and optimal fixed fraction for money management.

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