Tradestation 9.1: Portfolio Maestro

[Wide Tailz]

Quote from Frank Coolidge:

What System are you using to handle your trend following strategy?

The development process started on Tradestation 9.0. The sales rep extended me a very generous offer to get me on board.

I then coded up my ideas and "the one" just popped out at me. I've been developing variants of it for the past 6 months, paper trading in the mean time to see if the executions are realistic. The platform overall has been a joy to use, and much easier than ninjatrader (after I got used to easylanguage).

So far the systems are proving out on anything with a decent signal to noise ratio. The testing process also confirmed something I could never understand when I was still trading discretionary (same setup, basically) - some stocks are just too noisy to be tradable. Old pros will tell you this as if it should be obvious, but for me it wasn't quite as obvious as it should have been.

Latest WFO run. This one had a lot more degrees of freedom than the last, so I was worried about it breaking down. But as the report shows, it will work. Same starting balance, same general strategy, just different settings for the particular price action seen in the stock. Worth noting: long only, no leverage......

 

[Wide Tailz]

Quote from Mike805:



I have to ask though, Amibroker is a such a good product for portfolio backtesting, why would anyone want to pay 60/month for Portfolio Maestro?

Mike

I'm glad you posted this, I couldn't figure out why it wasn't showing up on my console.

So I went to the customer options screen, deactivated Radarscreen (also $60/mo) and checked the box for Maestro.........

The interface is pretty slick and reminds me of most engineering configuration management software. Seen another way, you can now rent for $60/mo something that used to cost $10k/yr and it is automatically integrated with TS's data.

Time is money and it's well worth it, in my case, to not have to code up my own software.

Here is the result of about 10 minutes of fooling around. I hooked the two previous strategies together. Anyone notice a difference?

 

[Stan_MultiCharts]

Wide Tailz,

Would be interesting to hear your comparison of MultiCharts' Portfolio Backtester and Portfolio Maestro in TS. We are planning to make portfolio trading, and looking for feedback on what to improve before we get going.

Since you can just plug your EL strategies in there, and portfolio backtesting is fully enabled in the 30 day trial, i don't think it would take very long for an experienced trader to set up the comp. Can you do it?

 

[intradaybill]

Quote from Mike805:

I use TradeStation.

You don't have to attack me to make the point that you use TS. Just remember when time comes that your attacks were unprovoked and do not express opinion but aim at defaming another person. Because is you continue this way, you will have to defend yourself soon.

I can produce scores of PMs where I have helped members here with statistics and other questions, privately, for free of course.

You can only produce records of insulting people. Shame of you. God will take care of you. People like you get what they deserve from the high powers.

 

[tim888]

Quote from Mike805:

1. Bill is not a professional trader.

2. Bill uses data mining to "find" systems.

1. I'm not either. Most here aren't.

2. When you come up with an idea to backtest that is a data mining result of your own brain. The human brain does continuously data mining. If you think data mining is worthless, you should stop thinking.

 

[Mike805]

tim88,

Pro or not, it really doesn't matter. I will say that TradeStation provides value for the cost to myself as well as many other traders.

Bill has a lot of uninformed opinions that he states as facts. While his knowledge of statistics is quite good, it doesn't mean he is some authority regarding tools, backtesting and, who is and who is not naive. I can point out many fallacies in Bill's posts yet I choose not to. This tool usage question is one area I find bill's comments to be especially irritating as he really doesn't use these tools to anywhere near their capacity, and then dismisses them like they are newbie tools. He then preaches about pattern search engines an tells posters they are idiots if they don't use such engines.

Per your response to my datamining comment. You do not understand the context. Bill uses pattern search engines to generate trading rules. To compare this process to what the brain does is not appropriate.

Do you know of the pitfalls associated with unsupervised versus supervised learning? hint: The correllation versus causation fallacy?

http://en.wikipedia.org/wiki/File:PiratesVsTemp(en).svg

 

[gmst]

Bill is a smart guy, but is very closed to new ideas. Tends to think the world works as he visions it inside his brain. The biggest issue with Bill is his condescending attitude towards others way of doing things - when he himself is no expert. He has his ideas that 'how should trading work' and has no interest to figure out 'actually how it works'. Reading his posts - is obvious that he has close to 0 trading experience, either in a prop office of by himself.

Mike is well grounded in reality.

 

[Frank Coolidge]

Quote from Wide Tailz:

The development process started on Tradestation 9.0. The sales rep extended me a very generous offer to get me on board.

I then coded up my ideas and "the one" just popped out at me. I've been developing variants of it for the past 6 months, paper trading in the mean time to see if the executions are realistic. The platform overall has been a joy to use, and much easier than ninjatrader (after I got used to easylanguage).

So far the systems are proving out on anything with a decent signal to noise ratio. The testing process also confirmed something I could never understand when I was still trading discretionary (same setup, basically) - some stocks are just too noisy to be tradable. Old pros will tell you this as if it should be obvious, but for me it wasn't quite as obvious as it should have been.

Latest WFO run. This one had a lot more degrees of freedom than the last, so I was worried about it breaking down. But as the report shows, it will work. Same starting balance, same general strategy, just different settings for the particular price action seen in the stock. Worth noting: long only, no leverage......

So with that system can you share your strategy?

 

[Wide Tailz]

Quote from Frank Coolidge:

So with that system can you share your strategy?

I posted a good description of it in the Journals forum in "ES Trend Following" around page 12ish.

 

[Wide Tailz]

Quote from sbokov:

Wide Tailz,

Would be interesting to hear your comparison of MultiCharts' Portfolio Backtester and Portfolio Maestro in TS. We are planning to make portfolio trading, and looking for feedback on what to improve before we get going.

Since you can just plug your EL strategies in there, and portfolio backtesting is fully enabled in the 30 day trial, i don't think it would take very long for an experienced trader to set up the comp. Can you do it?

I'd be glad to, if I could find a way to get the data from TS into MC. The main advantage with TS is that you get all the intraday data you can handle, as part of the monthly fee.