Ultimate Algorithmic Trading System

FIGURE 9.1
TradeStation’s Portfolio Maestro (PM) launch window.
PM works around the concepts of a Strategy Group and a Portfolio of
Strategy Groups. Before you can do anything you must build a Strategy Group.
The Strategy Group that we will be using is one that incorporates our Turtle-like
55-day Donchian breakout. If you haven’t imported the ELDs from the website, this
would be a great time to do so.
Strategy Group
In PM, a Strategy Group consists of a trading algorithm and the portfolio of
markets to which that algorithm will be applied. With the PM window in front of
you click on the File menu, select New, and then select Strategy Group.Where
it asks for Name type in MyFirstStrategyGroup and then select Futures as the
asset class.
You will then be sent back to the PM main window. Click on the Strategies tab
and then click on the Add Strategy button. Another window will open and list all
of the strategies that are in your strategies library (see Figure 9.2).
Scroll down the list until you come to Turtle 55. If you don’t see it, then you
might need to reimport the ELD files from this book’s companion website (www
.wiley.com/go/ultimatealgotoolbox). If it’s there, click on the name and highlight
it. Then click OK. The PM window will now show Turtle 55 in the Strategies
window (see Figure 9.3).
We now have a strategy, but now we need to tell PM to apply it to a list or
portfolio of markets. Click on the Symbol Lists tab right beside the Strategies
tab. A window will appear similar to Figure 9.4.
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PORTFOLIO ANALYSIS
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