Portfolio Management
for RadarScreen Version 1.0
This is the long awaited
feature missing in TradeStation: Now you can backtest several
systems, mix several timeframes, select and unselect
different tradeables according to their performance and / or any
RadarScreen filtering condition, without having to export or link to
any third party product.
Because it runs in memory, all the data are available and all
modifications that you may do will immediately reflect into the
portfolio result window.
This tool is a must for stock picking and fast portfolio backtesting...
Version 2 will allow to run
any money management scheme written in Easy Language, featuring
multiple views ( expected release: Q3 2004)
All trade informations are available for
every trade as well as the full performance summary for every bar of
every stock
in
RadarScreen
, are addressable and will allow weights applied to the
selected portfolio items (You will be able to write and optimize the
weighting code in Easy language).
We mean dynamic portfolio management
here, not only dummy optimal f and the like...
The example below takes less than 30
seconds to complete. It do not use Easy Language to calculate the
trades, performance summary, but the same technology used in
Safir-X.
Easy Language is only used here to
calculate the indicators of the
Radarscreen
system code( in fact, an indicator with buy sell orders).
Version 3 will have
neurofuzzy logic powered money management ( automated search like
in Safir-Xp), available later in 2004. Known as a part of the Safir-Xe
project.
All versions are compatible with Safir-X
systems and classical Easy Language systems.
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The Portfolio Management software V1 and above will only work with
TradesTation 7.2 and future versions. It will not run with
the RadarScreen 2000i edition.
The Internal limitation is 1000 items ( an item is a RadarScreen
line, running any timeframe serie or any trading system).
Several RadarScreen Windows are allowed at the same time, but the
total number of lines should not exceed 1000.
There is also a storage limitation of 10, 000 trades per
RadarScreen line.
Due to the fact that we store all of these information ( 10 000
trades for 1000 items), the memory needs can be very large.
We then recommend to use the fastest computer available and the
maximum of Ram allowed.
The Software could work in realtime, but in this case you may
consider to use a limited number of items in order to avoid
unnecessary CPU overload.
This tool has been designed as a portfolio backtesting tool, and
uses RadarScreen in a non conventional way:
We use the fact that huge amounts of historical bars can be loaded
in RadarScreen, beyond maxbarsback.
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Once installation done, the systems to be tested have to be written
as a RadarScreen indicator.(we provide the generic
templates for this)
A 2nd RadarScreen indicator will allow you to select or
unselect items and build subportfolio from the considered
RadarScreen windows where the systems run.
A special linked window will allow you to build the portfolio
results and to display the equity curve as well as the performance
summary for considered portfolio as well as for the components of
the portfolio
The
indicator allow to run any system
in
RadarScreen,
sort, select the systems according to you criteria, and build
the performance summary of the portfolio, at the cost of a very
light rewriting of the buy sell decison in Easy Language
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Several systems allowed
Several time frames allowed
MOC, stop, limit, Next Open orders
available.
Cost and slippage deducted.
The selected stocks will have a small blue
mark in the top of each rightmost cell (mouse selection).
The performance summary, Equity curve are
now displayed in the portfolio window.
You may deselect or reselect in RS ( using
the Alert menu).
Just unselect the alert to remove the
considered stocks from the portfolio.
The changes are automatically updated in
the portfolio window.
The Portfolio has a contextual menu (
right click on the portfolio chart)
The portfolio charts and the stock list
are linked and mouse selectable.
The individual performance summary is
available for each stock too (right column).
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You may open several portfolio windows,
only the last active will be updated ( then you may compare several
subportfolios
according to your selection).
Several
RadarScreen
windows are allowed at the same time and the selected lines
will reflect the results into the Portfolio window ( or
subportfolios).
Beacause of the Radarscreen limitation to
four plots, you may choose the performance summary field to display
in the Radarscreen window among the list below ( or derive your own
calculations, the resluts are available in Easy Language)
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Legend for plotnum 1 to 4 in
RadarScreen
:
[1]=TNP; Total net profit
[2]=ROA; Return on account
[3]=MIDD; MaxDrawdown
[4]= MarketPosition
[5]= AvgT ; Average trade[6]= PercentP;
Percent profitable
[7]=TnbT ; Total numner of trades
[_8] =GP ; Gross profit
[9]= GL; Gross loss
[10]=LWT; Largest winning trade
[11]=LLT ; Largest losing trade
[12]= NbWT ; Number of winning trades
[13]= NbLT ; Number of losing trades
[14]= OP; OpenPosition
[15]= ASR; Account size
[16]= FROA; Full ROA
[17]= PF; Profit Factor
[18]= MAE; Maximum adverse excursion
[19]= MFE; Maximum favorable excursion |
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Portfolio Testing
in RadarScreen
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This software
( Version 1) will allow to test one or several trading
systems in RadarScreen without having to open any TradeStation
Chart.
You may select the systems, the tradeables according to their
results or any other external criteria running in a
RadarScreen column.
This feature was never made available before
and will save a great deal of time.
It replaces most of the portfolio evaluation
software and avoid cumbersome export of data from a
TradeStation Chart or TradeStation Performance summary to an
external application.
Here,
all the calculations are done in RadarScreen and the
Portfolio results are available directly in a specific linked
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