Strategy Portfolio backtesting

fan27

fan27

I have written my own software to backtest strategies and it currently can do portfolio level backtesting of strategies. I have several strategies that are very profitable but they do not generate many signals. What I thought would be cool is let's say I have the following strategies.

Strategy A rank 1
Strategy B rank 1
Strategy C rank 2

Assuming that there is a signal occurring for strategy A, B and C on the same day, the backtester will choose one to many strategies with highest rank (A and B) and use those signals. The allocation amount will be split between those two trades. Here is what I want to be able to do:

If I do not have a signal or am in a trade for Strategy A or B, I will take a signal for Strategy C. But, if while in the trade for Strategy C, if a signal for A or B is encountered, I will exit the trade for C and enter the A or B trade.

Are there any software packages that can do that?

thanks
fan27
 
run all three strategy separately, correlate the dates and run the rules in excel. same thing accomplished, without spending or learning a new sw.
 
N2M said:
run all three strategy separately, correlate the dates and run the rules in excel. same thing accomplished, without spending or learning a new sw.
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But then I would have to become an excel guru :)
 
Yes, TradersStudio can. You say why TradersStudio ?. This would be a piece of cake, if read the link in this post, you will understand how TradersStudio combines Sessions, a single system on one or more markets , with TradePlans. A tradeplan is one or more sessions combined with money management rules. If there is interest in this I will show all of you a demo like this in a tutorial for TradersStudio. Please look at our Blog's and Tutorials on TradersStudio.com.
 
You can try using the logic in an app I have developed, over at https://www.stockmonitor.com/ . The app is still in development really, it's taken me about 6 months to get to this point, but the strategy/signal builder is useful for simplifying complex ideas. At least that is how I want it to be! Still a work in progress.
 
yada yada snake oil salesmen BS. As usual. Buyers beware...

Murray Ruggiero said:
Yes, TradersStudio can. You say why TradersStudio ?. This would be a piece of cake, if read the link in this post, you will understand how TradersStudio combines Sessions, a single system on one or more markets , with TradePlans. A tradeplan is one or more sessions combined with money management rules. If there is interest in this I will show all of you a demo like this in a tutorial for TradersStudio. Please look at our Blog's and Tutorials on TradersStudio.com.
More...
 
See, the BS is you, come clean who are you ?. Let's compare Linkedin profiles, publications, How much money strategies you developed are trading and let's see who has the credibility.
 
volpunter said:
yada yada snake oil salesmen BS. As usual. Buyers beware...
More...

I would hardly categorize Murray as a snake oil salesman. He has a tool that he sells. The only claims he makes about the tool are regarding its features and functionality. I have seen no evidence of Murray making wild claims about TraderStudio that are false. Perhaps if you feel otherwise you should link directly to his posts rather than throwing out insults.

fan27
 
Thanks Fan27 for the support
 
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