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Portfolio Management Tool/Software


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Portfolio Management Tool/Software

  #11 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
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syswizard View Post
You did not answer my 2 questions:
1) date format inconsistent ?
2) equity column has wildly different numbers.small then large ?

I think we're looking at different things. I see consistent data format and consistent equity progression. See pic attached. Equity starts 487 USD on August 18th and ends 538.5 USD on Sep 13th (DD/MM/YYYY date format).
Is it that in line with what you see?


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  #12 (permalink)
 
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 syswizard 
Philadelphia PA
 
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BERN Algos View Post
I think we're looking at different things.

No we are not.
I know Excel can handle both date formats, but I want to know why there are two different formats.

I see that the data extract needs to show the timestamp and the cumulative equity from net or gross profit.
Which is it ?

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  #13 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
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syswizard View Post
No we are not.
I know Excel can handle both date formats, but I want to know why there are two different formats.

I see that the data extract needs to show the timestamp and the cumulative equity from net or gross profit.
Which is it ?

This is the format I read:

Title:Time[comma]Equity
Raws:dd/mm/yyyy[space]hh:mm:ss[comma]comulative_gain_decimal_dot

Just added here another file as an example, both in csv and txt.
Hope this help to clarify.

Attached Files
Elite Membership required to download: MS__BOS_m_ALL60M8071_MES.csv
Elite Membership required to download: MS__BOS_m_ALL60M8071_MES.txt
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  #14 (permalink)
 
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 syswizard 
Philadelphia PA
 
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BERN Algos View Post
Just added here another file as an example, both in csv and txt.
Hope this help to clarify.

The data looks funky as the timestamp shows no minutes and no seconds.
Also Excel is treating one of the formats as text, not date.

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  #15 (permalink)
 BERN Algos 
Bologna Italy
 
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syswizard View Post
Very impressive ! Do you have any written documentation for your creation ?
Does it need to be adapted to accomodate another platform like Multicharts ?

Here I am. I spent a couple of hours putting together the approach I adopted and the features developed in my portfolio management sw.
Hope you enjoy the pdf (forgiving any typo)

Attached Files
Elite Membership required to download: BERN ALGOS PORTFOLIO MANAGEMENT & ASSESSMENT.pdf
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  #16 (permalink)
 
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 syswizard 
Philadelphia PA
 
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BERN Algos View Post
Here I am. I spent a couple of hours putting together the approach I adopted and the features developed in my portfolio management sw.

See attached for my comments. Very interesting concept.....but needs to be explained in much more detail.

Attached Files
Elite Membership required to download: BERN ALGOS PORTFOLIO MANAGEMENT & ASSESSMENT.pdf
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  #17 (permalink)
 s2los 
Bergen
 
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Thanks for sharing this!
I have been thinking about a way to implement this with Ninjatrader and 100+ strats, but other work obligations have left my dev time for trading extremely limited.
This will serve as a nudge to get me started again

Couple of questions:
- Do you do the walk-forward in Ninjatrader, or do you run that of platform?
- Is it you manually switching on/off strats every week, or have you implemented it so it is automatic? (I've found Ninjatrader is not so keen on allowing me to enable/disable strats automatically. It is possible, but I have found it is easiest to just have a test at the beginning of the script--> if(!allowedToTrade) return; kind of thing
- Do you use stats form Ninjatraders performance review, or do just grab the trades and calculate this in python instead?
- Are you using .csv's for crossplatform interaction? I've planned to use some database (haven't decided which) for this bit. That way I can just query it from wherever in the process for the results, optimisation parameters, on-off etc

Anyway, this is a cool project!
I hope I will get mine up and running and not get lost in the endless possibilities for optimizing it.

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  #18 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
Platform: nt8
Broker: NinjaTrader
Trading: futures
Posts: 42 since Jun 2022
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Hi s2los, thanks gor your kind feedback. See my answers [A] below

- Do you do the walk-forward in Ninjatrader, or do you run that of platform?

[A]: WF is in Python. Each WE the trade/stop mask is calculated and applied to the next week. Equity is shown for one year back today.

- Is it you manually switching on/off strats every week, or have you implemented it so it is automatic? (I've found Ninjatrader is not so keen on allowing me to enable/disable strats automatically. It is possible, but I have found it is easiest to just have a test at the beginning of the script--> if(!allowedToTrade) return; kind of thing

[A] Manually. I did a lot of automation in the process but not this

- Do you use stats form Ninjatraders performance review, or do just grab the trades and calculate this in python instead?

[A] the latter. I take only trades and do everything off-line. Well, I wrote an equity curve management in NT and it's possible to enable it on each strategy I design. But it resulted to be not a practical way to manage portfolios with more than 10 or 20 algos.

- Are you using .csv's for crossplatform interaction? I've planned to use some database (haven't decided which) for this bit. That way I can just query it from wherever in the process for the results, optimisation parameters, on-off etc

[A] csv with some kind of talking strategy name. In this way python knows which instrument was traded by that file. More, I can group strategies and plot a sub-equity curves. For examples, I have many strategies based on a fisher transform engine. I call all of them FISH_xxxx and the export tool in NT is exporting trades with FISH_xxxx.csv filename.
I hard coded grouping names in the portfolio management sw, by clicking on the list (you can see the thin-long window on the left) so to have an immediate picture of how those engines are behaving in general. The same for instrument, I can have a sub-equity grouping, say, MGC, where all strategies trading MGC are grouped.


Anyway, this is a cool project!
I hope I will get mine up and running and not get lost in the endless possibilities for optimizing it.

[A] my suggestion is to think a way to export data first. It can make the difference

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  #19 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
Platform: nt8
Broker: NinjaTrader
Trading: futures
Posts: 42 since Jun 2022
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syswizard View Post
See attached for my comments. Very interesting concept.....but needs to be explained in much more detail.

Hi syswizard, answering here.

Calculation time is about 2 minutes for 75 strategies, each of them one year long.
In my approach, I collect all trades in a global trading dataframe and resample all to a common time step. The highest resampling, the fastest it goes, the lowest the accuracy. I use 2H resampling (2 hours).

With weekly or monthly table I mean a weekly or monthly "report", in a table. Not ready yet. But yesterday I added a day-of-the-week report, that I was curios to develop since a lot of time. Results attached, Monday to Friday, last 4 months.

For file naming and instrument recognizing, see my answer to s2los

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  #20 (permalink)
 
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 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
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I think you are on the right track, but you've got a long, LONG way to go before this is a commercial product.
Keep working on the documentation.

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