Portfolio Testing

[darckeen]

Was wondering what suggestions people have for portfolio testing with NT. I'm really just interested in getting combined end run perfomance results for a perticular set of strategy parameters for a basket of assets. I know NT doesn't support it directly but I have a few ideas for work arounds and was wondering if anyone has tried anything similar.

1) Creating a multi instrument strategy that trades all the instruments in a portfolio at the same time. I have not tried making a multi instrument strategy yet but my main concern with this approach is that the results would be messed up somehow.

2) Running an optimization with a single instrument strategy on basket of assets and then exporting strategy the results to excel where you combine them into a portfolio and analyse.

3) Finally if you need intra run performance results you could do the same as above but instead export the trade history for each asset and combine them in excel.

I'm working with a small portfolio of 6 currency pairs if that makes a difference.

TIA

PS What portfolio support is NT7 expected to have?

[NinjaTrader_RJ]

Hello,

Thank you for your post.

Unfortunately I am not aware of any support for portfolio backtesting in NT 7.

I will forward any suggestions from this thread to development.

[jdfagan]

Was wondering what suggestions people have for portfolio testing with NT. I'm really just interested in getting combined end run perfomance results for a perticular set of strategy parameters for a basket of assets. I know NT doesn't support it directly but I have a few ideas for work arounds and was wondering if anyone has tried anything similar.

<snip/>

3) Finally if you need intra run performance results you could do the same as above but instead export the trade history for each asset and combine them in excel.

I currently workaround NT's lack of true portfolio backtesting via #3 method and currently performing this task this week by running backtest per market, export to Excel, then have to do a massive merge of multiple Excel sheets into one master portfolio. Its a major hassle when trying to analyze a good mix of different strategies - currently constructing a futures portfolio across 12+ charts which consist of differing markets, timeframes, strategies, and param values for strats. Its a very time consuming process so limit this exercise to just a few times a year.

Would be great if NT starts to think about this for next major upgrade to NT.

JD

[NinjaTrader_Kyle]

Hi JD,

Thank you for your post.

I will forward your comments along to my development team for further review.

[sf631]

I'll second (third?) the suggestion. Wealth Lab Pro does this exceptionally well, and for certain kinds of traders (myself included) it's critical to be able to run a seek-and-destroy strategy that'll find the best several symbols out of several hundred, trade on them (within portfolio constraints) and track the portfolio level results.

NT would be a dominant platform with this added

thx

[beckymyrans]

Hello,

Thank you for your post.

Unfortunately I am not aware of any support for portfolio backtesting in NT 7.

I will forward any suggestions from this thread to development.

I know one. You can check my site for it. Ed Butowsky Portfolio Optimization

[Cardwell]

I know one. You can check my site for it. Ed Butowsky Portfolio Optimization

I can't see any portfolio addins / support on your site?

[Master.Aurora]

Hello,

I was having the same problem with the lack of inter-strategy communication that NinjaTrader offers. So, we went out of the bos to create a small algorithm to workaround this issue. Please read this article:

http://www.aurorasolutions.org/inter-strategy-communication-in-ninjatrader/

Feel free to contact us if you need this implemented in your strategies.

Thanks
Umer

[Market-Robots]

Testing portfolio of strategies

Many of you have probably wondered about testing portfolio of strategies on historical data with NinjaTrader. There are several ways to do this, our way is to test the portfolio using MarketReplay with an additional strategy. Video on this page http://market-robots.com/blog/2013/1...-nindjatrader/ shows how a portfolio of four different strategies is managed by Master strategy. Master strategy allows you to control a total loss and a profit of whole portfolio. Also Master can write test results to a portfolio file, start and stop different strategies for different conditions. Strategies inside the NinjaTrader can share almost any information between themselves, and do so without writing files to disk.

Unfortunately, we cannot reveal the essence of this method, because it is our Know-how.
Those who are interested in our developments may contact us at [email protected]