Strategy Portfolio backtesting

[volpunter]

So you have the credibility in this area? Then why are you selling a piece of software instead of trading your fantastic strategies? I worked as trader for almost a decade at investment banks and hedge funds after I graduated from one of the top ranked quant finance programs. I now run my own fund for more than 6 years. Proof? I have no need to prove anything to you. You can choose to believe or not. Your absolutely free choice. And I am not American , hence have very little interest in pissing contests. If you spent more of your valuable time working instead of promoting then you would finally have a software package where even rudimentary things such as currency conversions and tick based data support was correctly working or featured.

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]

He did and had to be reminded that his product is not primed for currency Backtests nor non base currency denominated assets.

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

 

[volpunter]

Yes pretty much every software package can test and trade this, even many open source solutions. No need to shell out hundreds if not thousands of dollars. But you need some rudimentary programming knowledge.

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

 

[Murray Ruggiero]

So you have the credibility in this area? Then why are you selling a piece of software instead of trading your fantastic strategies? I worked as trader for almost a decade at investment banks and hedge funds after I graduated from one of the top ranked quant finance programs. I now run my own fund for more than 6 years. Proof? I have no need to prove anything to you. You can choose to believe or not. Your absolutely free choice. And I am not American , hence have very little interest in pissing contests. If you spent more of your valuable time working instead of promoting then you would finally have a software package where even rudimentary things such as currency conversions and tick based data support was correctly working or featured.

First the reason TradersStudio exists is I use it for my own uses as well as Tuttle's I sell it and systems to offset develop costs and research costs for new trading technologies. I don't trade anything less than 5 minutes and most of the time 45 minute bars so I have no need to do tick level. That why I am going down to 1 minute bars. I believe any strategy that needs tick information to work, is trading too small of a timeframe!. The average trader should not be trying to trade like a HFT. I do support currency conversions. You said before I said I did not do that , where did I say that and when , if I said in 2004 , that not current information.

Who Are you ?, You can say you did all this if you don't tell anyone who you are and it's meaningless. I have never been able to hide so I stand on my record.

Tuttle Executive Team
I am on the Executive Team as chief system designer for Tuttle, Tuttle manages about 250 million currently and is growing , we have 1 ETF we created currently trading and another one which is coming out soon. My strategies are used to manage these products.

20 years Contributing Editor for Futures Magazine , over 160 article!

 

[volpunter]

Your system per this year, 2015, does not manage currency conversions properly. You admitted so yourself in one of the threads we discussed recently. Anyone can do a simple search to find. You also do not support proper accounting for FX asset class and currency conversion issues preclude from successfully backtesting currency strategies.

I do not question your other claims about your Background. I don't believe any of your hyped stories and from own experience if someone writes articles and sells software then he is not trading nor deriving revenues from trading...simple as that. But that is my opinion and I let others judge for themselves.

I call you out as snake oil salesman because you make a lot if claims which you have to correct later because others had to prove to you that you made factually incorrect claims about your own product. Again for evidence there are search functions on this website.

First the reason TradersStudio exists is I use it for my own uses as well as Tuttle's I sell it and systems to offset develop costs and research costs for new trading technologies. I don't trade anything less than 5 minutes and most of the time 45 minute bars so I have no need to do tick level. That why I am going down to 1 minute bars. I believe any strategy that needs tick information to work, is trading too small of a timeframe!. The average trader should not be trying to trade like a HFT. I do support currency conversions. You said before I said I did not do that , where did I say that and when , if I said in 2004 , that not current information.

Who Are you ?, You can say you did all this if you don't tell anyone who you are and it's meaningless. I have never been able to hide so I stand on my record.

Tuttle Executive Team
I am on the Executive Team as chief system designer for Tuttle, Tuttle manages about 250 million currently and is growing , we have 1 ETF we created currently trading and another one which is coming out soon. My strategies are used to manage these products.

20 years Contributing Editor for Futures Magazine , over 160 article!

 

[Murray Ruggiero]

Your system per this year, 2015, does not manage currency conversions properly. You admitted so yourself in one of the threads we discussed recently. Anyone can do a simple search to find. You also do not support proper accounting for FX asset class and currency conversion issues preclude from successfully backtesting currency strategies.

I do not question your other claims about your Background. I don't believe any of your hyped stories and from own experience if someone writes articles and sells software then he is not trading nor deriving revenues from trading...simple as that. But that is my opinion and I let others judge for themselves.

I call you out as snake oil salesman because you make a lot if claims which you have to correct later because others had to prove to you that you made factually incorrect claims about your own product. Again for evidence there are search functions on this website.

I did a simple search I can't find where I said that, only you keep saying that I said that. Please show me where I said that.

 

[Murray Ruggiero]

If you use the search feature the only thing you find is this from 2006. I don't say we are doing it wrong here.

Yes you are correct. When you add a futures market to TradersStudio 2.0 and set it data universe, you can assign a conversion file for the currency. This is the Forex cross rate with the base account currency. We can handle both direct and indirect conversion, for example 1.25 dollars per euro or 1.00 dollar= .80 Euros.

In addition you can mix both US and Overseas markets in the same session ( portfolio trading one system).

The Currency conversion is available on a bar by bar basis so , when applying money management you can do the conversion between currencies for correctly sizing the position.

This technology is very powerful and one of the many features we have added.

 

[volpunter]

we talked about currency conversion issues in the context of backtesting currency based strategies and converting pnl back to the system's base currency.

I did a simple search I can't find where I said that, only you keep saying that I said that. Please show me where I said that.

 

[Murray Ruggiero]

Your system per this year, 2015, does not manage currency conversions properly. You admitted so yourself in one of the threads we discussed recently.

You said I said it in a thread, now you tell me I told you. Next will you say aliens came down and told you what wrong with TradersStudio.

 

[volpunter]

"You said I said it in a thread, now you tell me I told you"

Yes you admitted to the deficiencies of testing currencies in your TradersStudio software application in response to posts we sent back and forth. No aliens involved, just you and me and couple other users who had issues with converting non-base currency denominated pnl back to base. And I do not believe it lends you a whole lot of credibility by resorting to some bizarre "You said I said it in a thread, now you tell me I told you" type of comment.

You said I said it in a thread, now you tell me I told you. ".