TS Research Group : Software Products

TS Research Group : Software Products > Overview

www.tsresearchgroup.com

Real Time Portfolio Analyzer for TradeStation

Tool to TradeStation (TradeStation Group, Inc., former Omega Research, Inc.) for designing, testing and managing portfolio of trading strategies and assets using money management algorithms in real time.

Popular trading platforms (in particular, TradeStation by TradeStation Group, Inc., former Omega Research, Inc.) function using the scheme “one asset – one strategy” and originally were not designed for portfolio trading. Moreover, all of these operate with the statistics of particular transactions’ results, and not of equity changes. Another problem is that the statistics is calculated in relative but not in absolute values, which is not correct: asset price alteration of $5 while asset price being $10 is not equal to price alteration of $5 while asset price being $100.

In order to eliminate these limitations we have developed RealTime PortfolioAnalyzer - a program application for TradeStation, Excel and MetaStock designed for working out, testing, and managing a portfolio of different assets and applicable asset trading strategies in the real-time with a possibility of using user’s own equity management algorithms.

RealTime PortfolioAnalyzer is a new step to realizing an automatic system trading.

RealTime PortfolioAnalyzer’s Possibilities

In contrast to the contemporary equity management programs RealTime PortfolioAnalyzer allows:

To manage a portfolio of assets and strategies from a single account in the real-time.
To use any algorithms of equity management not limited by a small number of standard methods. The only existing limitation is trader’s imagination.
To analyze not the results of particular transactions (which are nothing else but realizations of a random value and reflect a trader’s desire “to be right”) but of equity growth, which really make sense as they reflect alterations in trader’s actual wealth.
To export all necessary portfolio parameters into the TradeStation in the real-time in order to manage current risks.
To calculate equity growth statistics for different periods in percent and adjusted to current prices.
To calculate the portfolio drawdowns and runups statistics in percent and adjusted to current prices.
To test and analyze any equity management strategies on the portfolio level based on historical data.

In addition, RealTime PortfolioAnalyzer allows:

To combine different assets with different timeframes and different strategies.
To introduce portfolio total equity and components alterations, equity growth histograms for various periods, separate components’ share in the portfolio indices etc. using graphs.

Finally, RealTime PortfolioAnalyzer

Has quite a reasonable price.

Different Versions of
RealTime PortfolioAnalyzer

	Real Time Portfolio Analyzer for TradeStation Free Version	Real Time Portfolio Analyzer for TradeStation v 2.6
Maximum number of simultaneously processed instruments	2	100
Calculation of portfolio parameters in the real-time regime	Yes	Yes
Export of portfolio parameters into a trade station in the real-time regime	Yes	Yes
Export of portfolio parameters’ historical values into a trade station	Yes	Yes
Simultaneous usage of different timeframes	Yes	Yes
Statistics Being Calculated
Equity Summary	Yes	Yes
Equity Statistics	Yes	Yes
Drawdowns & RunUps	Yes	Yes
Time Analysis	Yes	Yes
Graphs	Yes	Yes
Export Data to CSV	Yes	Yes

Description of RealTime PortfolioAnalyzer’s functional possibilities

RealTime PortfolioAnalyzer is a program addition to TradeStation. Information exchange between all strategies and indicators (activated in the TradeStation and opened in different Templates), and RealTime PortfolioAnalyzer is carried out by means of adding a few lines in EasyLanguage codes of corresponding signals and indicators. At the same time information on individual strategies’ results is sent to RealTime PortfolioAnalyzer, and the integrated information on the state of a portfolio returns to the TradeStation. This information can be used for continuous regulation of the size of a position in the real-time regime, thus providing new opportunities for risk management.

All indices are calculated in percent (in order to compare various portfolio components properly) as well as in relation to current prices.

In the Portfolio Tab PortfolioAnalyzer allows to evaluate the main portfolio characteristics and components in the real-time.

In addition, main portfolio characteristics can be exported to the TradeStation in the form of indicators.

RealTime PortfolioAnalyzer’s Equity Summary Tab provides thorough information on the current state of a portfolio:

In Equity Statistics Tab RealTime PortfolioAnalyzer calculates equity growth statistical characteristics (no only the main ones, but also high-degree moments for in-depth analysis).

There is a possibility to modify a base period of the equity growth statistics’ calculation.

In addition, RealTime PortfolioAnalyzer calculates the statistics of other important portfolio, drawdowns and runups characteristics in the corresponding tab:

Moreover, RealTime PortfolioAnalyzer performs the statistical analysis of time, which equity spends in the state of drawdowns, runups and achieves new maxima.

In the Graphs Tab RealTime PortfolioAnalyzer presents all characteristics of portfolio and its components being calculated as different graphs and histograms.