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和Tradestation完全相容的投資組合測試軟體-Portfolio Maestro 2.0.4
Portfolio Maestro is a complete solution for Portfolio Testing, Signal Generation and Automated Execution. Clients have the ability to choose a language to create their systems, data sources for historical and realtime testing, as well as to choose brokers to execute the systems.
Portfolio Maestro is an effective way to run research, development and trading for alternative investment firms and individuals, to discover new ways to design and test strategies, reduce dependency on technologies from different companies, and reduce development time and cost.
Portfolio Maestro allows users to focus on strategy development and trading and to reduce complexity and risk. Portfolio Maestro technology fits well into both start-up and established trading firms, and is an affordable solution.
Portfolio Maestro is a stand alone application that runs on a client desktop. Developed by the same people who created award winning Performance Summary Plus (licensed by Omega Research®, now TradeStation®), Portfolio Evaluator, Money Manager, and PortfolioStream, Portfolio Maestro is the next generation of strategy analysis and reporting.
Portfolio Maestro Delivers:
Automated environment to backtest multiple strategies simultaneously on a large volume of symbols across a range of strategy inputs
Flexible environment to build and test strategies using standard .NET languages or import and run strategies written in other backtesting applications, such as TradeStation® EasyLanguage®
Ability to test and trade advanced techniques, such as cross-sectional ranking strategies, integrated portfolio money and risk management, constraints, and many others
Industry standard performance reporting metrics to report portfolio performance and to present results
Data and broker independent platform for strategy research and implementation
TradeStation Technologies can assist in system development and testing as well as performing statistical evaluation of the results.
Advanced Techniques
Portfolio Maestro enables researching a trading methodology using additional techniques that offer an opportunity to enhance trading performance. No other platform offers these advanced features and provides these benefits.
Portfolio Maestro allows you to:
Set priorities for strategies that belong to the same system group to get the available capital. A strategy with a higher priority gets the capital first
Set priorities for system groups that belong to the same portfolio to get the available capital. A system group with a higher priority gets the capital first
Test strategies on a symbol list where symbols come from multiple data sources, such as Bloomberg, TradeStation® 8, Interactive brokers, eSignal, CSI, text files, and others
Test a strategy across a portfolio of multiple symbols with different reference symbols
Test ranking strategies across a portfolio of multiple symbols. Ranking allows ranking multiple symbols based on selected criteria, ranking frequency, part of the ranked list to apply a trading strategy and other parameters. Portfolio Maestro comes with a number of ranking criteria as well as the ability to write new ones and make them available to the user
Apply money management strategies to scale trades based on portfolio equity or other parameters. Some of Portfolio Maestro’s money management capabilities include: fixed fractional with margin, fixed fractional with ATR, fixed fractional with standard deviation risk, fixed fractional by price, fixed fractional by market value, fixed amount and others
Constrain trading based on equity, margin, risk and other parameters (e.g., margin/equity ≤ 0.3) integrated with portfolio testing
Code and test any strategy that can be written in VB.NET, C# or other .NET languages
Simulate returns and trades. The simulation allows analyzing alternative scenarios or histories that could have occurred given the historical or realized outcome (distribution) of a trading system or portfolio of systems. For example, while a portfolio may have achieved a historical drawdown of $50,000, by re-sampling the original returns we might also determine that the drawdown had a 10% chance of exceeding $200,000. Armed with this information, system traders are better prepared for the risks and volatility of results that could occur in future scenarios
Test a strategy with the ability to start/stop signals based on portfolio equity, (e.g. stop if portfolio equity lost or gained x%)
Key Features
Test a strategy across a portfolio of multiple symbols and time intervals (e.g., daily, 60-minute and 10-minute bars within the same portfolio)
Backtest a portfolio of multiple trading strategies on one or several symbol lists simultaneously (e.g. many systems and symbol lists within the same portfolio)
Test a trading strategy across a portfolio using strategies that reference multiple symbols in the trading logic (e.g. pairs, inter-market analysis) Define reference symbol relationships within the portfolio.
Test a trading strategy across a portfolio using strategies that reference multiple symbols with different time frames
Rank symbols in your portfolio with user defined criteria and functions and then backtest the performance of the ranking strategy in combination with trading strategies
Apply Constraints on margin to equity, open position to equity, and others for accurate testing
Apply Equity Filters on portoflio equity to stop and restart trading based on the performance
Use all of the capabilities described above in any combination
Import current version of TradeStation® EasyLanguage® code or TradeStation 2000i EasyLanguage code and test strategies written in EasyLanguage directly in Portfolio Maestro
Develop trading strategies written in VB.NET, C# or other .NET languages using a standard Portfolio Maestro interface
Automatically retrieve historical prices from eSignal, Bloomberg, TradeStation or Interactive Brokers for use in backtesting
Use text files and CSI’s Unfair Advantage® (CSV Format) as a price source in backtesting
Retrieve symbol properties from available data sources or using Portfolio Maestro Symbol Master
Portfolio Analysis and Reporting
Create detailed statistical reports and charts to analyze portfolio backtesting results
Optimize the parameters of any or all of your strategies across the portfolio and analyze backtesting results
Perform Walk-Forward Analysis to generate rigorous out of sample performance results when optimizing strategies
Create new ranking strategies written in VB.NET, C# or other .NET languages using a standard Portfolio Maestro interface
Apply Money Management Strategies integrated with portfolio testing
Apply Money Management Strategies using Portfolio Equity or specific risk variables calculated from within your trading strategy
Constrain Trading based on Capital, Margin, Risk and other parameters (e.g., Margin/Equity <=0.3) for more realistic portfolio simulations given real world capital limitations
Perform Monte-Carlo Simulation of historical returns to generate scenarios of total return, drawdown, and time between new equity peaks across thousands of simulations
Convert foreign currency profits to the portfolio base and manage currency denominations for symbols in the portfolio
Mix and match instruments traded in foreign currencies within the same portfolio
Measure performance using hedge fund industry standard performance reporting
View Individual Symbol Equity Curve for symbols in the portfolio
Create Daily Orders and Positions reports which can be exported to Excel
Calculate Commission and Slippage by Asset Class or by Symbol for more realistic trading cost assumptions in the backtest
Export performance reports directly into Excel for an additional analysis
Technology
Built on Microsoft .NET platform and SQL Server database technology
Included API allows for custom development of trading and ranking strategies in standard .Net Languages
User can run the software from any computer using the same login information
High performance backtesting engine can process millions of bars of price information
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