Any software to test multi-system portfolio performance?

[ezbentley]

Does anyone know any software package that does backtesting on a multi-strategy portfolio? To the best of my understanding, TradeStation is not capable of this.

I am mainly interested in testing the effectiveness of diversifying different strategies. For example, if I allocate half of my fund to a trend-following strategy and the other half to a mean-reversion strategy, if the strategies have low or even negative correlation, then I can smooth out the drawdown without sacrificing profit, in theory anyway.

Of course this can be done in two steps: test the strategies independently, export the results to excel or any statistical software and do the correlation analysis. But I am just wondering if there is a software that can do all these in one step.

Regards,

 

[Directional]

MultiCharts does this. The portfolio backtesting tool allows use of multiple strategies across multiple instruments, and uses TS easylanguage code too.

I've only tinkered with the portfolio stuff, so I'd suggest you take their 30 day free trial and try it out to see if it does what you want.

 

[Mayfly]

You could try this: Trading Recipes Multi-Market Multi-System Backtesting Platform for financial traders (Portfolio Trading) and there's more here: Welcome to Mechanica — Portfolio Engineering Software

HTH

Mayfly

 

[Tuffty]

For more about the theory it may also be worth reading a series of posts by Acrary on EliteTrader about multiple system sizing.

 

[ezbentley]

Thanks for everyone's help. I will look into those.