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How to evaluate one strategy trading multiple symbols
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How to evaluate one strategy trading multiple symbols

  #1 (permalink)
Trading Apprentice
dayton oh
 
Futures Experience: Advanced
Platform: protrader
Favorite Futures: SPY
 
Posts: 1 since Feb 2015
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How to evaluate one strategy trading multiple symbols

Short of using the $60/month Portfolio Maestro addon, is there any way to evaluate a single strategy across a portfolio of symbols? For example, what would my results be trading a moving average crossover system on all S&P 500 stocks for the past four years?

Thanks for your help.

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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,524 since Apr 2013
Thanks: 229 given, 852 received
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nquant,

if you have no restrictions to the capital or to the positions you could simply sum up all individual results. Otherwise I don't think there is a way around using a portfolio tool.

Regards,
ABCTG

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  #3 (permalink)
Trading Apprentice
Austin, TX
 
Futures Experience: Advanced
Platform: NT, TS, TOS, IB
Favorite Futures: ES
 
Posts: 12 since Sep 2015
Thanks: 0 given, 3 received


I'm considering moving off of TS for this very reason. Anyone haver recommendations for a replacement strategy dev platform? Basically I want to have a momentum chaser rotate among 10-15 symbols but only hold one position at a time (e.g. the strongest momentum name). Thx.

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,524 since Apr 2013
Thanks: 229 given, 852 received
Forum Reputation: Legendary

eyewall,

I would suggest taking a look at Multicharts as it it will feel pretty familiar coming from Tradestation, plus it offers portfolio trading which you could use to test and trade your momentum chaser.

Regards,
ABCTG


eyewall View Post
I'm considering moving off of TS for this very reason. Anyone haver recommendations for a replacement strategy dev platform? Basically I want to have a momentum chaser rotate among 10-15 symbols but only hold one position at a time (e.g. the strongest momentum name). Thx.


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  #5 (permalink)
Trading Apprentice
Austin, TX
 
Futures Experience: Advanced
Platform: NT, TS, TOS, IB
Favorite Futures: ES
 
Posts: 12 since Sep 2015
Thanks: 0 given, 3 received

Yeah, I've been looking through their wiki docs and it all still looks like you're operating on 'data1'. It does some tricks to pairs trade a couple symbols, but not multiple from what I can tell. I don't understand why these object models that have been built are so limiting. I just want Data1....Data[N] and then I 'Sell Data3', 'Buy Data7', etc. I can't believe none of the platforms have simplified this after all these years. Maybe there just wasn't a lot of demand for it? I dunno...

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