To back the wrong horse: this is the nightmare for the serious trader. When volatility is huge and the trend well defined to make money on the markets is easy. But the point is completely different when the market is dull and sideways, here the good traders go breakeven and the bad ones go home after burning their account. Nobody knows why trading among retail traders should always be considered like staking on race horses: you cannot stake on many horse but you need to choose one. In other terms why to trade just one market and not to trade many markets altogether ? In a much more proper way we can name this approach “portfolio trading”. Why to trade only Dax if Dax will trend only 20% of the time ? Would not be better to trade at least Dax, Bund, Euro Dollar ? Sure, volatility often affects all the markets in the same way but at least you can always double check the direction of the new trend confronting Bund with Euro Dollar and Dax with Bund. This topic remains profane to the layman in trading that will stay with his consolidated belief that “you need to have a feeling with the market you trade”. But the self-evident truth is that a simple strategy with a simple money management will perform much better on a multi-market portfolio than on a single market. Please try it with whichever trading system you like. A multi-market approach seems to be so elusive for the retail trader that it is worthwhile in this column to remind that what is necessary is simply to purchase a portfolio software. Let’s make a review of the most known portfolio applications nowadays available. Almost all the portfolio testing platform allows to work with system reports done with Tradestation, the most popular technical analysis package around for professional system traders.
Market System Analyzer (www.adaptrade.com) is a cheap and smart software that for as little as $199 do whatever you need for portfolio testing. It allows to import report data from Tradestation in Excel format, even if you need to do it for every single stock or futures of the portfolio and this is quite time-demanding.
MultiChart (www.tssupport.com ) is a product that costs $1497 for a lifetime licence, it has a huge choice among different data feeds and it is Easy Language compatible. It can perform different optimization and backtesting tests over a portfolio.
Trading Recipes has been for a long time the flagship of the category and now after reshaping and renewing took the name of Mechanica (www.mechanicasoftware.com ). It has a standard edition that costs $3000 and a Professional Edition that costs $25.000. Upgrade from the old Trading Recipes costs only $900.
But please I beg your pardon if being a veteran Tradestation trader I will spend some more lines on a new product called Portfolio Maestro (www.rinafinancial.com ) issued just some months ago by Rina Systems. I am a kind of special testimonial of Tradestation: I will never leave it because I will need more time than my life allows to program again what I did so far in Tradestation into a new program language. But over all I will never will leave because its programming language (Easy Language) is adapt to non professional programmers like me. Portfolio Evaluator ($ 1295) is the first step in portfolio building for Tradestation users and in order to build a portfolio you need just to shoot your system report into the Portfolio Evaluator platforms simply pushing on the blue botton in the Tradestation system report. Then you will build the portfolio sticking together all the individual system reports. Portfolio Stream ($4995 individual purchase, $9995 professional purchase) does a lot more than Portfolio Evaluator like Montecarlo Analysis and Walk Forward Analysis. Eventually Portfolio Maestro ($10.000 per year) is really much more than what you saw so far: in a few seconds you can plot a system with just one click on a portfolio of markets, apply money management, optimize and check results. What is much more important is that he works not only with Easy Language trading systems’ codes but also with Visual Basic and C # trading systems’ codes. Portfolio Maestro sets a new border in systematic portfolio construction and in summary it teaches that it is always better to back many horses instead of just one.