portfolio of systems testing

Quote from cta_trader:

Many traders dont realize that when you trade multiple systems together, your profits will be the same as if you traded them seperately and added the individual system results together.

For example, if you have 20 systems and you wonder how you would have done trading them all together in an account, simply sum the profits of the individual systems.

If you take the daily p/l's from each system and combine them, you will get the daily p/l for the portfolio. from this, you can measure drawdowns.

I would suggest a spreadsheet with the first column being the day. Then the next several columns being the daily results with 1 column per system and finally a total colunm. If you graph the total column you will clearly see the drawdowns.

I hope this helps
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That's actually untrue if you have each system holding a constant % of the portfolio... And the distinction IS important. If you are just daytrading--ok forget about it.
 
ok, now I think I get it. It wouldn't make any difference I guess. I suppose it would all come down to whichever system got to close the final trade.


Joke: Online DayTrader sitting in the living room in his boxer shorts.....say's "Honey don't worry were flat in the market.....no worries. Then at the end of the day.....He say's, "Honey Let me explain this."

Michael B.
 
This is an intersting old thread...but it seems non-conclusivE.

My question: of TR, WLD, BEHOLD, TS, etc which software can handle TRUE portfolio of systems back-testing AND automated trading?

Many thanks.
 
Only WLD does this. TR does not do automated trading, TradeStation does not do portfolio testing, Behold does not do automatic trading.

Unfortunately, word on the street is that WLD is slow, slow, slow.
 
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