Portfolio Analysis software

[minx]

I currently use CQG for my trading and system development but one thing I would really like to do is run all my systems on their respective instruments and chart the net results. At the moment CQG will do each one individually but in order to get a true measure of the benefits of the portfolio-effect on combined drawdowns and 'cash-buffer' requirements I'd really like to run them all as one.
Anyone know of any software that can do this? Costs? Programming language used and an idea of the time needed to learn it.

Thanks.

 

[rog1111]

Hmm, I think that you'll have to write your own from scratch, or pay someone to do it (expensive), it should be easy enough once you've got to grips with the programming aspect. My choice of platform would be VB.net 2005.

GL

rog1111

I currently use CQG for my trading and system development but one thing I would really like to do is run all my systems on their respective instruments and chart the net results. At the moment CQG will do each one individually but in order to get a true measure of the benefits of the portfolio-effect on combined drawdowns and 'cash-buffer' requirements I'd really like to run them all as one.
Anyone know of any software that can do this? Costs? Programming language used and an idea of the time needed to learn it.

Thanks.

 

[Silent.Trader]

I currently use CQG for my trading and system development but one thing I would really like to do is run all my systems on their respective instruments and chart the net results. At the moment CQG will do each one individually but in order to get a true measure of the benefits of the portfolio-effect on combined drawdowns and 'cash-buffer' requirements I'd really like to run them all as one.

I've never tried this myself, but as I understand it amibroker might be able to do this for you.

grtx
Wilco

 

[theknifemac]

Hi Minx

I know that Rina systems do software for TradeStation which allows testing at the portfolio level, no idea if they do the same for CQG. And their software is reassuringly expensive.

Mac

I currently use CQG for my trading and system development but one thing I would really like to do is run all my systems on their respective instruments and chart the net results. At the moment CQG will do each one individually but in order to get a true measure of the benefits of the portfolio-effect on combined drawdowns and 'cash-buffer' requirements I'd really like to run them all as one.
Anyone know of any software that can do this? Costs? Programming language used and an idea of the time needed to learn it.

Thanks.

 

[minx]

One software program that does seem to do this is Trading Blox.
Does anyone know if it is completely customisable or do you have to use a combination of their 'off the peg' tools? Has anyone used it? Does it do what it says on the tin?

 

[minx]

One software program that does seem to do this is Trading Blox.
Does anyone know if it is completely customisable or do you have to use a combination of their 'off the peg' tools? Has anyone used it? Does it do what it says on the tin?

Just thought I'd update anyone who cares on this. I trialled Trading Bloxx for a week and really liked the way it works and the outputs from it. It isn't the cheapest program in the world, $3000 for the full version, but if you're serious about portfolio development and have decent capital behind you then this might be the equivalent to 1 losing trade. Helps put things in perspective.

You basically build a block for entry/exit/money-managment/etc... and then build up a system by dragging and dropping your blocks into a system. The blocks are easily interchangeable and its really simple to just whip out one money management block and test another one without having to rewrite any code. On that point I should add that I have no programming experience and still found it fairly alright learning on the hoof. Definitely didn't confuse me as much as eSignal code.

Problems with it would be the fact its EoD only at the moment but I heard secondhand that they might be bringing out intra-day with the next update. I dont know if this is definitely true but would certainly be a good thing imho.

Anyway, just wanted to bring this thread up to date..... If anyone else has used it then I'd really like to talk to you about it and get your opinion.

 

[swandro]

I googled for Trading Bloxx and could not find any reference to it. Can you provide a web page or company reference for this software? I would Like to look it up.

Many thanks

 

[swandro]

Found it! Trading Blox not Trading Bloxx!

 

[tech_trader]

Matlab is the way to go... hands down. You have to program it yourself if you want it done right. Once you learn the language, it can be done in a day.

I currently use CQG for my trading and system development but one thing I would really like to do is run all my systems on their respective instruments and chart the net results. At the moment CQG will do each one individually but in order to get a true measure of the benefits of the portfolio-effect on combined drawdowns and 'cash-buffer' requirements I'd really like to run them all as one.
Anyone know of any software that can do this? Costs? Programming language used and an idea of the time needed to learn it.

Thanks.

 

[Nash deVille]

EliteTrader.com has extensive forum discussions on portfolio backtesting software. Those frequently mentioned include:

TradersStudio
TraderBlox and it's pro and builder variants
AmiBroker
Rina Portfolio Maestro
Wealth Lab
Portfolio123 was mentioned once in passing
OpenQuant
and a few others.