Portfolio Analyzer for TradeStation
Version 2.5 and higher.
DOWNLOAD INSTRUCTIONS
Click the download link.
In the File Download box, select Save this
program to disk.
Save the file named "TSPortfolioSetup_xxxxx.exe" to your
hard drive. (XXXXX - according of client)
When the download is completed, locate
TSPortfolioSetup_xxxxx.exe on your hard drive and double-
click the file to begin installation.
Note: If you are running Internet Explorer 5.0 or
later, a dialog box will appear when the download
is completed, and you will be prompted to begin
installation.
Installation.
When the download is completed, locate "TSPortfolioSetup_xxxxx.exe" on your
hard drive and double-click the file to begin installation.
Launch Installation wizard and click “Next”
Read license agreement, select “Accept…” and click “Next”
Read readme information, minimum system requirements and click “Next”
Enter your information and click “Next”
Select Install Folder and click “Next”
Note: We recommend not Change Install Folder
Please review Installation Setting and click “Install”
If installation is successfully completed click “Finish”
Getting Started
RealTime PortfolioAnalyzer is a program application for TradeStation (TradeStation Group, Inc., former Omega Research, Inc.) designed for working out, testing, and managing a portfolio of different assets and applicable asset trading strategies in the real-time regime with a possibility of using user’s own equity management algorithms. RealTime PortfolioAnalyzer is a new step to realizing the automatic system trading.
RealTime PortfolioAnalyzer allows:
- To manage a portfolio in the real-time;
- To use equity management algorithms not limited by a small number of standard methods;
- To combine different assets with different timeframes;
- To analyze equity growth for various periods of time;
- To test and analyze a portfolio on a historical data basis;
- To export into TradeStation all necessary portfolio parameters in the real-time;
- To obtain equity growth statistics in absolute values as well as adjusted to current prices;
- To present results in the form of various graphs.
Run Start menu -> Program -> TradeSmart -> TS Portfolio
Import TS Portfolio Function, Signals and Strategy into EasyLanguage Power Editor or TradeStation
Before getting started with RealTime Portfolio Analyzer it is necessary to import functions into EasyLanguage PowerEditor. For manual export of functions after installation enter TS Portfolio directory located in Program Files: ...\Program Files\TradeSmart\TS Portfolio.
Launch EasyLanguage PowerEditor, select Import and Export from the File menu…
Further select Import EasyLanguage Documents or Archive File (ELD or ELA)
Click Browse in the popup window and indicate TSPORTFOLIO.ELD file destination (Program Files\TradeSmart\TS Portfolio). Select TSPORTFOLIO.ELD file.
And click Next, select all types.
Click Next, select All and Finish consequently.
Run TradeStation or Omega Research ProSuite
Create two Tradestation Chart with different symbols and insert example strategy: "TS.Portfolio.Example"
Run TS Portfolio and press button "Load All Instruments"
After recalculating, you can view all datas in portfolio.
Prepare your trading system for Portfolio Analyzer
It’s necessary to prepare your trading system for Portfolio Analyzer.
Alterations of signal codes necessary for operating Real Time Portfolio Analyzer
For data export from strategies into RealTime Portfolio Analyzer in signal codes it is necessary to call function:
Value1 = TS.Portfolio.Set(1,1,1);
Entry variables of TS.Portfolio.Set function are the values set by user. For these values three positions are reserved. As entry variables it is possible to use
Position Risk, Position Volatility, Position Assured Profit, in particular.
An example of using TS.Portfolio.Set function is listed in a TS.Portfolio.Example signal code.
Other parameters (Equity, NetProfit etc.) imported into RealTime PortfolioAnalyzer are fixed.
TS.Portfolio.Set function receives data from each Trade Station strategy being launched and transfers it to RealTime PortfolioAnalyzer.
Launching TradeStation Chart
After TS.Portfolio.Set function’s initialization into the signal codes of strategies, it will be possible to launch strategies in TradeStation Chart with required assets.
Launch TradeStation Chart , open necessary graphs, and launch the required strategies on them. Further, it will be necessary to launch RealTime PortfolioAnalyzer.
Launching RealTime PortfolioAnalyzer
Launch RealTime PortfolioAnalyzer, select Edit Portfolio option from the Edit menu, or click the pictogram 
from ToolBar. RealTime PortfolioAnalyzer operates with “instruments” composed of an asset, applied strategy and selected timeframe. In RealTime PortfolioAnalyzer an instrument is identified as «SymbolName StrategyName TimeFrame». In the pop-up window indicate instruments for working with portfolio.
Click OK, and the program will automatically open a new window and commence calculation of portfolio parameters. For quick loading of all simultaneously opened instruments in TradeStation it is recommended to use Load All Instruments command in the File menu,
or to click the following pictogram 
.
Portfolio Analysis
If the calculation of portfolio parameters is completed the following window will appear:
While selecting necessary tabs it is possible to look through portfolio properties.
In the program main window it is necessary to enter Initial Capital’s, Interest Rate’s and Range’s of Dates (for equity statistics calculation).
It is possible to open several windows simultaneously.
For portfolio re-calculation, for example, after signal codes’ alterations in EasyLanguage or instruments composition’ s alterations, it is necessary to select Calculate from the Action menu or to click the following pictogram 
.
Operating a portfolio online
For operating a portfolio of instruments in the real-time as well as for exporting portfolio results into TradeStation it is necessary to select Start Online from the Action menu, or to click the following pictogram:
after the portfolio being formed.
At this point the background of the upper part of the main window will become green, and portfolio data will be calculated online.
For switching off portfolio parameters’ calculation select Stop Online from the Action menu, or click the following pictogram:
.
For using the results of portfolio trading in TradeStation online, namely, for calculation of the size of a position, TS.Portfolio.Get.Onl function is used.
An example of using TS.Portfolio.Get.Onl function in TS.Portfolio.Online indicator is illustrated below:
While calling TS.Portfolio.Get.Onl function it is necessary to indicate parameter’s value (from 1 till 6). Depending on that the function will return necessary portfolio
value:
TS.Portfolio.Get.Onl(1) - Portfolio Online Equity
TS.Portfolio.Get.Onl(2) - Portfolio Online Net Profit
TS.Portfolio.Get.Onl(3) - Portfolio Online Open Profit
TS.Portfolio.Get.Onl(4) - Portfolio Online Risk
TS.Portfolio.Get.Onl(5) - Portfolio Online Assured Profit
TS.Portfolio.Get.Onl(6) - Portfolio Online Volatility
Thus, for operating a portfolio in TradeStation in the real-time it is necessary:
- To set TS.Portfolio.Set è TS.Portfolio.Get.Onl
functions’ call in EasyLanguage codes corresponding signals;
- To open corresponding TradeStation Charts and to apply necessary strategies in which functions’ call is addressed for operating a portfolio;
- To launch Real Time Portfolio Analyzer and to create a corresponding portfolio;
- To select Start Online command;
Attention! Online data export into TradeStation is carried out in
Start Online regime only.
Back Testing and Equity Management on a Portfolio of Instruments
The possibility of Back Testing of equity management strategies on a portfolio of instruments in one of the main functions performed by RealTime PortfolioAnalyzer. For this purpose TS.Portfolio.Get.His function is used.
Depending on a parameter’s value (from1 till 6) TS.Portfolio.Get.His function will return the following
values:
TS.Portfolio.Get.His(1) - Portfolio Equity
TS.Portfolio.Get.His(2) - Portfolio Net Profit
TS.Portfolio.Get.His(3) - Portfolio Open Profit
TS.Portfolio.Get.His(4) - Portfolio Risk
TS.Portfolio.Get.His(5) - Portfolio Assured Profit
TS.Portfolio.Get.His(6) - Portfolio Volatility
It is possible to set custom back testing range. For this purpose it is necessary to activate windows for start and final dates’ indication by putting a tick in Range of Dates. If Range of Dates is not indicated testing is carried out on the whole history basis received from TradeStation. Further select Set History from the Action menu or click the following pictogram:
. Hereby array of portfolio parameters will be saved. For using them in TradeStation it is necessary to set TS.Portfolio.Get.His
function call in signals’ or indicators’ codes, as follows:
Thus, for proper functioning of portfolio back testing in TradeStation it is necessary:
- To indicate TS.Portfolio.Get.His and TS.Portfolio.Get.His functions’ call in EasyLanguage codes corresponding signals;
- To open corresponding TradeStation Charts and to apply necessary strategies to them in which functions’ call is addressed for operating a portfolio;
- To launch Real Time Portfolio Analyzer and to create a corresponding portfolio;
- To select Set History command;
- To launch Workspase in TradeStation (if only one strategy is used in a portfolio, you can launch Workspase using Verify command or by pressing F3 key in EasyLanguage PowerEditor);
- To select Calculate from the Action menu or to click the pictogram .
Portfolio Window Description
Portfolio
Portfolio contains the main results of portfolio operations, which are exported into TradeStation, as well as the results of operations of particular instruments incorporated into a portfolio. While working online the background of the upper part of the tab becomes green.
Equity Summary
The Tab contains all parameters of portfolio total equity’s state at the last date both in percent and in absolute values.
Equity Statistic
The tab contains an exhaustive statistics of portfolio total equity growth for the indicated period. Parameters are calculated in percent and in absolute values adjusted to the last date prices.
Drawdowns & RunUps
The Tab contains exhaustive statistics of portfolio price reduction from the maximum point to the drawdowns followed as well as of portfolio price increase from the minimum point to the runups followed. Parameters are calculated in percent and in absolute values adjusted to the last date prices.
Time Analysis
The Tab contains a base of time a portfolio spent in drawdowns and runups, and achieved new maximums both in absolute values and percent for the whole portfolio testing period.
Graphs
The Tab contains various graphs.
Overview 
