Portfolio System Optimization

[dima777]

Hi!
Can you please list any software which allows to optimize a trading strategy across a set of different symbols/time frames at the same time - not one by one. I am able to do this in Excel but am interested if other packages can do this.
Thanks

 

[TSGannGalt]

LOL...

You're the 98% knowing guru in ET....

Why ask such a newbie question?

I think we're not worthy of providing you with that type of information... as you already know 98% of what people have to say in here.

And not to mention, you have a website and a retail service that teaches hedge funds how to trade....

 

[dima777]

Quote from TSGannGalt:

LOL...

You're the 98% knowing guru in ET....

Why ask such a newbie question?

I think we're not worthy of providing you with that type of information... as you already know 98% of what people have to say in here.

And not to mention, you have a website and a retail service that teaches hedge funds how to trade....

Take it easy, man...I do not know the answer to this question...

 

[dima777]

If anyone is interested I found one software which does this - Portfolio Stream by Rina:

http://www.rinafinancial.com/portfoliodifferences.asp

It is possible to apply a system and optimize it across a portfolio and across multiple time frames, end of day and intra day using PortfolioStream.

Cheers!

 

[ronblack]

Quote from dima777:

Hi!
Can you please list any software which allows to optimize a trading strategy across a set of different symbols/time frames at the same time - not one by one. I am able to do this in Excel but am interested if other packages can do this.
Thanks

I would like to know the theoretical justification for this. Why prefer a startegy optimized across a set of different markets/time frames as opposed to one that is optimized for each market/time frame and then taking the mean value of the parameters or selecting their value based on some other criteria given their distribution?

Ron

 

[Tums]

Quote from dima777:
Hi!
Can you please list any software which allows to optimize a trading strategy across a set of different symbols/time frames at the same time - not one by one. I am able to do this in Excel but am interested if other packages can do this.
Thanks

http://www.tssupport.com/multicharts/portfolio/

Portfolio Backtesting
Portfolio backtesting offers a number of advantages:
• Backtesting a strategy on a single instrument may not produce enough trades to distinguish a pattern from a coincidence
• Backtesting a strategy on a number of instruments is more likely to reveal any shortcomings and helps to avoid over-optimization
• A robust strategy is likely to demonstrate consistent profitability across various instruments
• By backtesting on a diverse portfolio, the instruments most suitable for the particular trading strategy can be selected

Caution: This program is still in beta. Many features are not fully supported yet.

 

[dima777]

the theoretical justification is if you are going to trade the system across the portfolio you might want to trade only one version of the system which performs more or less good on all of the instruments. If you find such parameter combination they are much more likely to be robust as opposed to using different parameters sets of the same system for each of the markets...this is especially true if you are planning to trade dynamic portfolio - picking and dropping instruments for the trading - from the universe of available ones...

 

[dima777]

Quote from Tums:

http://www.tssupport.com/multicharts/portfolio/





Caution: This program is still in beta. Many features are not fully supported yet.

thanks...looks interesting...

 

[TSGannGalt]

Quote from dima777:

the theoretical justification is if you are going to trade the system across the portfolio you might want to trade only one version of the system which performs more or less good on all of the instruments. If you find such parameter combination they are much more likely to be robust as opposed to using different parameters sets of the same system for each of the markets...this is especially true if you are planning to trade dynamic portfolio - picking and dropping instruments for the trading - from the universe of available ones...

What do you mean theoretical justification? You're doing it on your Excel sheet right? Are you using something without any clear justification?

You mention, about finding robust combinations. Tell us what conditions to look for to identify a robust combination?

 

[lindq]

Quote from dima777:

Hi!
Can you please list any software which allows to optimize a trading strategy across a set of different symbols/time frames at the same time - not one by one. I am able to do this in Excel but am interested if other packages can do this.
Thanks

Investor RT at www.linnsoft.com