In this article I want to tell you about my method for building Trading System portfolios.
As you well know, before writing to me alone the tools that I still use, I relied on a Software ( paid handsomely ) that helped me in the analysis, choice and composition of my trading portfolios. Over time I realized that this software was inaccurate so I decided to do it myself and create a suite of tools (like this one I’m about to show you) that would help us Algorithmic Traders.
These tools are only compatible for Tradestation and Multicharts, but with some caution you can also do it with other platforms, let’s get to the point…
Portfolio Composer was born with the aim of creating portfolios! Once you have read the short guide you will immediately be able to use the tool, simply upload the reports and you’re done!
Watch this video, it’s a short demonstration video of the tool in question
But now let’s see in detail how it works.
Part 1: Boot and Systems Selection
Nothing complicated here, you just have to load your systems in the left section and in the right section choose which ones to use, note that the selection is interactive, so you can select and add as you like
Part 2: Weighing systems
This part is very important as it will allow you to assign a specific weight to each system. Let’s assume that we only have $10,000 and we want to operate only with mini or micro futures contracts, well here you can set the weights necessary to adapt the portfolio to your economic needs, by default as soon as loading takes place, it is set to 1.
Part 3: Graphs
In this section you can see the graphic part of your equity line, there are 2 ways to view it:
The first is the total portfolio equity calculated on the basis of the weightings and the selected systems, below it will also appear the drawdown in %; the second consists of the equity lines of the single loaded systems, very useful indeed for the comparison.
Part 4: Metrics
This section includes all the metrics that can be useful for evaluating and comparing portfolios as well as a scoring system that will allow you to objectively evaluate your portfolio.
Part 5: Correlations
Portfolio correlations are very important and allow you to choose the proper systems according to it, you can choose between 4 types of correlation: day, week, month and year.
Part 6: Returns
Very intuitive graph showing a table with the returns of your portfolio divided into years and months.
Part 7: Trade Analysis
Last but not least, this section analyzes the performance of your portfolio based on years, months, days of the week and days of the month. It’s really useful and will allow you to analyze and find biases on your portfolio/systems to improve your performance!
I hope this tool helps you and if you have any problems feel free to contact me.