RINA Systems has released PortfolioStream 5 software. We believe that this release marks a substantial evolution in our suite of products, integrating many of our clients most requested features over the previous year. We have expanded the capability of the PortfolioStream 5 in several areas. Let’s take a look at what’s new:

Ø         New graphs to better analyze historical risk
Ø         Control of assumptions on fixed capital
Ø         Ability to assign sector for each system / market in the portfolio
Ø         Application of constraints to a portfolio
Ø         New input and output file formats
Ø         Implementation of hypothetical fees
Ø         Ability to collect trade-only data
Ø         Portfolio Scaling Strategies

Detailed descriptions of the features that we have added to our PortfolioStream software are:

New Graphs To Better Analyze Historical Risk:

Some of the new graphs include:

    -   Cumulative Return and Drawdown
    -   Return and Drawdown (by month)
    -   Rolling 12/24/36 Months Sharpe Ratio
    -   Rolling 12/24/36 Months Return
    -   VAMI and Drawdown

Save Chart Image - This new feature allows users to save the graph image directly from PortfolioStream 5 to bitmap format. To save a graph as a bitmap, click this button and specify a filename, then click "Save".

Save Chart Data - This feature exports the data from the graph, e.g. equity values by date, to an excel spreadsheet file. To save a data file, click this button and specify the text filename and click "Save."

Control Of Assumptions On Fixed Capital:

PortfolioStream now lets the user determine the assumptions from which percent returns are derived. This let's users determine whether returns were generated from a fixed funding level or should be calculated from the accumulated equity. It allows more accurate simulations that better reflect the way users trade and compound their returns.

Ability to assign sector for each system / market in the portfolio:

PortfolioStream 5 has the ability to assign sector for each system/market in the portfolio that allows showing Portfolio Profit Contribution by Sector (chart) and apply constraints to the selected sector as well as to the whole portfolio. This feature allows traders to consider different weighting for sectors based on their returns.

Application Of Constraints To A Portfolio:

PortfolioStream 5 has the ability to apply constraints to generate more realistic simulations of portfolios. This feature allows the system developer to gain a better understanding of how capital or investment policy constraints will impact the performance of a portfolio. Constraints are available for the following attributes:

    -   Margin to Equity
    -   Margin to Fixed Capital
    -   Open Position to Equity
    -   Open Position to Fixed Capital
    -   Open Long Position to Equity
    -   Open Long Position to Fixed Capital
    -   Open Short Position to Equity
    -   Open Short Position to Fixed Capital

Constraints can be applied either singly or together (multiple constraints).

New File Input and Output Formats:

PortfolioStream 5 has new file inputs: Returns Only and Trades Only. The software also has the capability to weight returns, to import various formats including the XML trade and price format exportable from TradeStation, a more limited trade only variation in XML format, and finally a return only format. This allows users to bring into PortfolioStream 5 results from actual trading, and analyze them along side the hypothetical portfolios, adding greater flexibility.

In addition, PortfolioStream 5 has the capability of exporting all trades into a separate *.csv file for further analysis.

Implementation Of Hypothetical Fees:

PortfolioStream 5 currently has the ability to simulate the impact of deducting fees from a stream of returns. This helps user determine how simulated returns would have realized after accounting for various expenses, including both management and performance fees.

Ability to collect trade-only data:

This new feature allows collecting trade-only data from TradeStation 7 or 8 during the optimization study. As a result traders can run a much larger study and avoid database limitations of 2GB.

Portfolio Scaling Strategies:

PortfolioStream 5 supports portfolio-scaling strategies. The strategies can be applied individually or simultaneously with money management strategies. The strategies are applied using the same parameters to all markets in the portfolio (the settings are on a portfolio basis). The following strategies are available for adding to positions:

    -   Scaling in with Average True Range
    -   Scaling in with Standard Deviation
    -   Scaling in with Margin

The following strategies are available for reducing positions:

    -   Scaling out with Average True Range
    -   Scaling out with Standard Deviation
    -   Scaling out with Margin

Click Product Ordering to purchase PortfolioStream 5.