The latest version of PortfolioStream - Version 4.5 has been released with three major enhancements. Let’s take a look at what’s new:

Monte Carlo Simulation

Monte Carlo Simulation of returns and trades allows you to analyze alternative scenarios or histories that could have occurred given the historical or realized outcome (distribution) of a trading system or portfolio of systems. For example, while a portfolio may have achieved a historical drawdown of $50,000, by resampling the original returns we might also determine that the drawdown had a 10% chance of exceeding $200,000. Armed with this information system traders are better prepared for the risks and volatility of results that could occur in future scenarios. The Monte Carlo simulator found in PortfolioStream supports the following:

Multiple Types Of Historical Data To Resample From Your Portfolios Including:

Returns at daily, weekly, and monthly intervals expressed as both a percent or $ change.
Historical trades in the portfolio or individual system.
Sampling of both the portfolio composite (combined) return, or sampling from the individual market returns to generate the portfolio return.

All of the features above give users maximum flexibility in setting up your simulations.

Multiple Re-Sampling Methods Including:

Standard Monte Carlo simulation using Normal Distribution.
BootStrapping with Replacement.
BootStrapping without Replacement.

Users are not limited to a single simulation and can choose the method they feel is most appropriate.

Several Key Statistics In Output Tables And Graphs:

Total Return.
Average Return.
Maximum Drawdown.
Longest Time Between Equity Peaks.
Maximum Consecutive losing trades (for trades based resampling).

Users are not limited to a single simulation and can choose the method they feel is most appropriate.

Fully Integrated:

Making use of these powerful features just takes the click of a button, because our Monte Carlo Simulator is fully integrated to PortfolioStream and interfaces to the same databases of portfolio performance.

A substantially more robust interface to TradeStation 7 and 8 for multi-market strategy testing

We have recently established some new software interfaces to TradeStation 7 and 8, which we believe greatly increase the stability of running PortfoioStream with TradeStation 7 and 8. We think these improvements will allow the users to run larger studies with much greater reliability. The way in which PortfolioStream interacts with TradeStation was an area in which our customers suggested improvements, and we have worked hard to increase the integration between them.

Walk forward optimization - Optilogix - is now seamlessly integrated into PortfolioStream

Walk-forward optimization let's users know what would have happened when using various optimization criteria, using rigorous forward testing to avoid curve fitting. If one is considering re-optimizing system parameters periodically, this is the best way to know how periodically optimizing a system would have worked historically. Previously offered as a stand-alone application, Optilogix, walk-forward studies can now be created seamlessly from inside PortfolioStream.

Click Product Ordering to purchase PortfolioStream 4.5.