Case Studies

Case 1 - Equities

A customer needs to test a strategy on S&P500 list of symbols on daily data. The customer would like to rank every week the 500 stocks from high to low based on their last 30 days percent change and apply the strategy only to the top 20% of the rank. The customer also would like to use a fixed amount of money on every trade.

Environment: EasyLanguage and data from TradeStation 8.

Solution: Portfolio Maestro has everything necessary to perform the tests. Just copy and paste the strategy into the software and set up the study using the options available in the software.

Case 2 - Futures and FX

A customer needs to test a strategy on a list of 40 futures and FX markets. The customer would like to a use fixed fractional money management strategy with ATR risking between 0.5% and 3% of portfolio equity in every trade. The customer also needs to limit the margin to equity ratio to 30%. The strategy uses two time frames for each symbol: daily for the reference symbol and 60 minutes for the trading symbol. In addition, because the basket of futures and FX symbols contains global markets with multiple currency denominations, the user needs profit and loss, equity curve, and rate of return converted to a single base.

The client needs to perform out of sample testing of the strategy to reduce the chance of fitting the past price curve.

Environment: EasyLanguage from TradeStation 2000i and data from Bloomberg.

Solution: Portfolio Maestro has everything necessary to perform the tests. Just copy and paste the strategy from TradeStation 2000i into the software, run the utility to load Bloomberg data, and set up the study using the options available in the software. Set the backtest type to optimization, and set the percent risk on the money management tab to change the from 0.5% to 3% with a step 0.5. This enables the strategy to test for 6 values of risk automatically.

Case 3 - Futures

A customer needs to test a strategy on a list of 60 futures markets. The customer would like to run the strategy on a list of 36 markets out of the 60 if a given condition is true, and to run the strategy on a list of the other 24 markets out of the 60 if a given condition is false. The customer also needs to limit the margin to equity ratio to 42%. The customer would like to know the performance of the strategy on the entire 60 market portfolio.

Environment: Visual Basic and data from SQL Server in the text format.

Solution: RINA Technologies assisted the client to implement the Visual Basic strategy into Portfolio Maestro. The client is now running and testing the strategy in Portfolio Maestro and is generating results. All that was needed was to split the strategy in two, create two symbol lists with 36 and 24 symbols respectively, create two separate system groups, and combine them into a single portfolio.

Case 4 - Equities

A customer needs to test a strategy and optimize its inputs on the S&P 500 list of symbols on 5 years of 10 minute interval data. The customer would like to rank every day using a ranking file generated by another application with a known format, and apply the strategy only to the top 6% of the rank. The customer would like to use a fixed fractional by price money management strategy to calculate the amount of money on every trade, and to limit leverage to 1.0.

Environment: EasyLanguage and 10-min data from TradeStation 8.

Solution: Portfolio Maestro has everything necessary to perform the tests. Just copy and paste the strategy into the software, and set up the study using the options available.