Portfolio Analysis Software

[Burney]

Hi,
Anyone know of anything similar to Rina Softwares Portfolio Evaluator that ideally would plug in to Tradestation,or something that will analyse a portfolio of Future and Commodities.for Drawdown etc etc using Tradestation reports
Alternatively if someone has a second hand copy or knows of any websites where I might be able to get a secondhand copy of Rina's Portfolio Evaluator would be most grateful.

 

[gshiga]

PortfolioMerge

Burney,

If you haven't already done so, check out PortfolioMerge.com. Their software (i.e., PortfolioMerge @ $229 US) allows you to save individual strategy peformance reports in TradeStation, and then the software will basically consolidate all of the information in the reports for you. Please note that I haven't purchased the software yet, however, I have downloaded their demo version for free and it seems to work pretty well. I am hesitating to purchase the software since you must FIRST save each and every strategy performance report you would like to evaluate (unlike Rina's Portfolio Stream Software which will allow you to create a custom symbol list (up to 10,000 symbols) and their software will run and save the strategies for you ... Rina's software will also allow you to modify the strategies and use optimization using the same data) prior to the software being able to consolidate the reports for you. If you only have a few markets/symbols to evaluate (less than 100), then the time it takes to save each strategy performance report (and then going through the same procedure everytime you modify the strategy/optimize) may not be that big a deal (especially considering the big price tag of Rina's software). However, I would like to get consolidated reports for over a 1,000 symbols, so it would be very time consuming to save each and every strategy performance report.

Hope that helps

 

[gshiga]

PortfolioMerge.com

Burney,

I purchased the PortfolioMerge software yesterday, so I wanted to update my previous reply. As noted in my above reply, in order to merge a portfolio of strategy performance reports using PortfolioMerge you must first save each and every strategy performance report to a file, and then the PortfolioMerge software will consolidate all of the reports in such file. However, PLEASE NOTE that PortfolioMerge has a beta version of a software that computerizes the process of saving each strategy performance report that you have listed in a custom symbol list. I ran several tests using the beta autosave software and it ran smoothly. I had 100 symbols in my custom symbol list and it took about 30 minutes (20 seconds per symbol) to save all 100 strategy performance reports. PortfolioMerge advised me that the beta version of the autosave software should be included in the next version of the PortfolioMerge software which is planned to be released in the next month or two.

Lastly, the one drawback of the autosave software is that you can't use your computer for any other tasks while the autosave software is performing. However, considering Rina's $5,000 US price tag for its PortfolioStream software, not being able to use your computer for a couple of hours to have the software rip through the S&P 500 is a very minor drawback.

 

[jmreeve]

Pity they forgot to include a fixed capital report.
This is the most useful page on the RINA software.

 

[TWI]

JMR - Please could you explain what this "fixed capital" report contains. Are the Rina packages compatible with TS2000i and TS8?

 

[spunkyblonde]

hi what sort of cost is involved in these type of programs please

 

[jmreeve]

Hello TW,

The fixed capital report shows the return on a fixed amount of capital on a monthly basis.
It is basically the return without any reinvestment of the returns generated.
This is one of the main things hedge fund investors like to look at.

I have attached the fixed cap report of an example portfolio of trend following systems.

The Rina stuff definitely works with ts2000i but you will have to ask them about anything else.

 

[TWI]

Which Rina package is comparable with Portfoliomerge? Seem to be a lot of options on their website.

 

[jmreeve]

Portfolio Evaluator is the closest.
There is also a money manager package that comes with this that I did not bother with.
PortfolioStream is the automated version of Portfolio Evaluator which is most useful if you are trading stocks.

Thinking of putting a fund together?

 

[spunkyblonde]

thanks 4 that info jmreeve

 

[TWI]

jmr
I am certainly looking at better ways to analyse and represent portfolio risk/returns. TS type automation only forms a small part of what I currently do but looking at expanding in this area and the possibility of an umbrella type deal.