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Portfolio Management Tool/Software


Discussion in Psychology and Money Management

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  #21 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
Platform: nt8
Broker: NinjaTrader
Trading: futures
Posts: 42 since Jun 2022
Thanks Given: 11
Thanks Received: 38


syswizard View Post
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.

That's makes me laugh but thank you so much for having considering my work from a commercial perspective. Yes, I wrote the docs in a commercial form, this was my job as a Product Manager for many years. But it was just for fun this time.

Now, seriously, what I want from my sw is to HELP me to make a consistent and robust trading job. I'm more then interested in sharing ideas and experience, being completely alone in my trading and, in particular, in my sw development, I miss interaction with others (and doubts, and critics as well).

It would be great to TEST my sw with someone else data, if you or any other was interested just rise your hand.

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  #22 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
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BERN Algos View Post
It would be great to TEST my sw with someone else data, if you or any other was interested just rise your hand.

Not till your sw is refined.....for example the day-of-the-week chart shows 0-4 instead of Mon-Fri.
Once again, update the documentation with more detail.

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  #23 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
Platform: nt8
Broker: NinjaTrader
Trading: futures
Posts: 42 since Jun 2022
Thanks Given: 11
Thanks Received: 38



BERN Algos View Post
The good part is that a back test is always performed till the week before with some kind of walking forward. So, once decided a parameter setup, I have validation and proposal for next week in one shot.

Just spent some holiday time on my Portfolio Management development. There was a disadvantage in the approach above, being all strategies treated in the same way independently from their off-sample time, or, say, their age.
So I created a csv file crossing each strategy with release data and added a programmable filter in the sw to exclude young strategies.

I was inspired by a comment at this regard by Luca Giusti (https://www.qtlab.it/) a great Italian resource for this kind of stuff, stressing on being honest with ourselves when evaluating young and mature algos. I'm used to add a couple of strategies each week so I thought about it.

For those who would be still interested, the attached pictures show (hypothetical) performances of my old ladies. 50+ algos, from 12 down to 3 months off-sample. Managed portfolio seems surprisingly good, maintaining roughly the same gain with far better regularity and less DD.






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  #24 (permalink)
 
NQturnal's Avatar
 NQturnal 
Moe, AU
 
Experience: Advanced
Platform: NinjaTrader, X-Trader
Trading: Futures, Stocks, ETFs, FX
Posts: 9 since Oct 2009
Thanks Given: 3
Thanks Received: 23

For those using Ninja, TradeStation, MT4/MT5, or even have a CSV of trades and wish to keep all your trade data locally, [B]Quant Analyzer[/B] may suit.

It's fairly light weight, can support custom trade lists (custom CSV import formats), has all trade & periodic stats/metrics, single strat & portfolio level equity curve profiling, comparing vs benchmarks, what if scenarios, monte carlo, risk of ruin simulations etc. I simply find it useful for analysing large trade datasets & metrics quickly.

Is also extensible with plugins written via Java if that tickles your fancy; and relatively cheap as a one time/lifetime purchase (there are substantial specials throughout the year and the obvious Black Friday deals).

A free version is also available.

EDIT: I am in no way associated with the vendor and this is obv not a review.

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  #25 (permalink)
 BERN Algos 
Bologna Italy
 
Experience: Advanced
Platform: nt8
Broker: NinjaTrader
Trading: futures
Posts: 42 since Jun 2022
Thanks Given: 11
Thanks Received: 38

Some quick update on my creation.
I finally decided to add in 2023 an active position sizing, doubling contracts on specific, well-performing, strategies.
My Portfolio Manager runs on a weekly base, it performs both a weekly based walk-forward test in the last year as well as a proposal for the incoming week. One of the metric provided by the sw is the absolute-gain ranking of all strategies, calculated in a 3 months rolling window. After some research and test I adopted this ranking map to select my weekly "premium" strategies, those good enough to run with two contracts. See pic below. Back tests seem to give a linear increase of gain and DD, quite good for my purpose.
Ok, nothing new so far.

Now, I have 100+ strategies in production, generally one third chosen by the Portfolio Manager, and three to five premium ones.
After a couple of attempts it was clear that I needed some kind of automation here, a manual modification of quantity was not only boring but could result in potential mistakes or misalignment.

So I created a csv file listing the weekly premium strategies and added a file parser in NT.
Here some code example for those interested in the topic.

First, the file parser structure:

 
Code
public static int MoneyManagementAddOn(string nname)
{
        string 	PosSizingpath = NinjaTrader.Core.Globals.UserDataDir + "/MoneyManagement/premium_strategies.csv"; 
	int one_or_two = 1;
	using (StreamReader rd = new StreamReader(File.OpenRead(PosSizingpath)))
	{
		while (!rd.EndOfStream)
		{
			var line_read = rd.ReadLine();
			if (line_read.Contains(nname))   //if my actual strategy is listed among the premium ones
				one_or_two = 2;
		}
	}
return (one_or_two);
}
Second, the calling line:

 
Code
	if (CurrentBars[0] < BarsRequiredToTrade)   {return;}
	if ((CurrentBars[0] == BarsRequiredToTrade)	{Qty = MoneyManagementAddOn(Name);}


Rank and threshold


Premium strategies of-the-week csv file

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Last Updated on February 7, 2023


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