Tradestation 9.1: Portfolio Maestro

Wide Tailz

Wide Tailz

Greetings,

So I see Tradestation is now at version 9.1 with a new feature called Portfolio Maestro. It appears to allow portfolio level back testing.

https://www.tradestation.com/trading-technology/whats-new/tradestation-9-1/base/portfolio-maestro

I haven't played with it yet. Maybe this is what we've been waiting for - the ability to work money management rules into our various noncorrelated systemz across a portfolio of equity curves. I keep reading that money management is the secret to system trading, and the pros always run a huge variety of markets, some with discreet systems for each.

Anyone tried it yet?
 
Quote from Wide Tailz:

Greetings,

So I see Tradestation is now at version 9.1 with a new feature called Portfolio Maestro. It appears to allow portfolio level back testing.

https://www.tradestation.com/trading-technology/whats-new/tradestation-9-1/base/portfolio-maestro

I haven't played with it yet. Maybe this is what we've been waiting for - the ability to work money management rules into our various noncorrelated systemz across a portfolio of equity curves. I keep reading that money management is the secret to system trading, and the pros always run a huge variety of markets, some with discreet systems for each.

Anyone tried it yet?
More...

You can get the same features for $199 with Amibroker. So what? Money management is not the secret to system trading. Money management is a set of rules that if you do not follow you will go broke no matter what. The secret to system trading is having an edge. Money management without an edge leads to ruin.

Programs like Tradestation are expensibe bells and whistles that provide no edge to anybody. If I can get the same functionality with $199 one time fee why wasting time with them?

The problem with system trading is that retail traders cannot compete in HFT domain and in slower intraday and swing/position trading domain traditional backtesting is worthless or in the best case an adventure that requires a lot of luck.

The idea that you first come up with a strategy and then you test it in other martkets, the so called portfolio backtesting thing, is fundamentally flawed amd leads nowhere. You can spend years and years and still fail to find something that works.

What you need is a process that can generate constantly strategies automatically until you find your edge:

http://www.elitetrader.com/vb/showthread.php?s=&postid=2968698#post2968698

Anything else is a waste of time but also a sign of been left behind for anyone that still does it. No matter how you try a MACD, RSI, BB, DMI, EMA, you name it, and how you combine it with money management, you are not going to make any money. These methods are inherently flawed. Whoever follows them will endup after 10 or 20 years looking back at a wasted life. You cannot make money in the markets with anything that is known already and widely applied.
 
Quote from intradaybill:

You can get the same features for $199 with Amibroker. So what? Money management is not the secret to system trading. Money management is a set of rules that if you do not follow you will go broke no matter what. The secret to system trading is having an edge. Money management without an edge leads to ruin.

Programs like Tradestation are expensibe bells and whistles that provide no edge to anybody. If I can get the same functionality with $199 one time fee why wasting time with them?

The problem with system trading is that retail traders cannot compete in HFT domain and in slower intraday and swing/position trading domain traditional backtesting is worthless or in the best case an adventure that requires a lot of luck.

The idea that you first come up with a strategy and then you test it in other martkets, the so called portfolio backtesting thing, is fundamentally flawed amd leads nowhere. You can spend years and years and still fail to find something that works.

What you need is a process that can generate constantly strategies automatically until you find your edge:

http://www.elitetrader.com/vb/showthread.php?s=&postid=2968698#post2968698

Anything else is a waste of time but also a sign of been left behind for anyone that still does it. No matter how you try a MACD, RSI, BB, DMI, EMA, you name it, and how you combine it with money management, you are not going to make any money. These methods are inherently flawed. Whoever follows them will endup after 10 or 20 years looking back at a wasted life. You cannot make money in the markets with anything that is known already and widely applied.
More...

What's your edge then Bill ?
But I guess you won't be telling even if you have one !
Could pm me if you are feeling generous though ?
 
Tradestation software is very nice but it's sort of backward.. I tried automating with TS8, the script couldn't get very much info from the brokerage at all, in fact it drove me towards using market orders and I didn't want to do that, moved the account. They wrote the software and owned the brokerage and the script still could not get much info.. besides, Easy Language takes a lot longer to write things with than C++ does once you get over the learning curve... I would not be surprised if AMIBroker's portfolio tester is much more intelligently put together than Tradestation's based on my past experiences.. I loved that Radarscreen though, could use Excel to give me my trading universe on the weekends and copy/paste a thousand symbols into the Radarscreen and it would be up and working really hard for me in just a minute..

How does AMIBroker's scanner compare to Radarscreen? Could one write some .dlls and trade directly from the scanner? That was doable with TS2000 and probably with TS8...
 
Quote from intradaybill:

You can get the same features for $199 with Amibroker. So what? Money management is not the secret to system trading. Money management is a set of rules that if you do not follow you will go broke no matter what. The secret to system trading is having an edge. Money management without an edge leads to ruin.

Programs like Tradestation are expensibe bells and whistles that provide no edge to anybody. If I can get the same functionality with $199 one time fee why wasting time with them?

The problem with system trading is that retail traders cannot compete in HFT domain and in slower intraday and swing/position trading domain traditional backtesting is worthless or in the best case an adventure that requires a lot of luck.

The idea that you first come up with a strategy and then you test it in other martkets, the so called portfolio backtesting thing, is fundamentally flawed amd leads nowhere. You can spend years and years and still fail to find something that works.

What you need is a process that can generate constantly strategies automatically until you find your edge:

http://www.elitetrader.com/vb/showthread.php?s=&postid=2968698#post2968698

Anything else is a waste of time but also a sign of been left behind for anyone that still does it. No matter how you try a MACD, RSI, BB, DMI, EMA, you name it, and how you combine it with money management, you are not going to make any money. These methods are inherently flawed. Whoever follows them will endup after 10 or 20 years looking back at a wasted life. You cannot make money in the markets with anything that is known already and widely applied.
More...


Bingo. Great post.
 
Quote from intradaybill:

No matter how you try a MACD, RSI, BB, DMI, EMA, you name it, and how you combine it with money management, you are not going to make any money. These methods are inherently flawed. Whoever follows them will endup after 10 or 20 years looking back at a wasted life. You cannot make money in the markets with anything that is known already and widely applied.
More...

Can't say I agree with this, although we may be looking at different markets and time frames. There are certain markets which are very, very easy to find profits with simple, old fashioned systems. And then there are crowded intraday futures markets.

I can't tell if you are more concerned with the possibility that I may lose 20 years to this pursuit, or succeed where you did not.
 
Quote from Wide Tailz:

Can't say I agree with this, although we may be looking at different markets and time frames. There are certain markets which are very, very easy to find profits with simple, old fashioned systems. And then there are crowded intraday futures markets.

I can't tell if you are more concerned with the possibility that I may lose 20 years to this pursuit, or succeed where you did not.
More...

I have completely overlooked use of indicators in my trading, I have been trading for 3 yrs and I don't even know definition of RSI. :) LOL

I was thinking this weekend if I should look at indicators - maybe there is something useful there. and then I read your post. Do you mind writing which markets you found to trade very very easy using old fashioned systems (I read by systems you mean indicators here or systems based completely on indicators). Thanks.
 
coming to the topic at hand, does anyone know how TS portfolio backtester compare to Multicharts portfolio backtester ?
 
Quote from gmst:

I have completely overlooked use of indicators in my trading, I have been trading for 3 yrs and I don't even know definition of RSI. :) LOL

I was thinking this weekend if I should look at indicators - maybe there is something useful there. and then I read your post. Do you mind writing which markets you found to trade very very easy using old fashioned systems (I read by systems you mean indicators here or systems based completely on indicators). Thanks.
More...

Markets with a good repeating signal. Typically they are not traded by computerized day traders and have a very tight looking price series. Example: F

An example of the reverse would be WAVX.

:D
 
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