Ultimate Algorithmic Trading System

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FIGURE 9.6
The UGTATS markets and their corresponding symbols.
PORTFOLIO ANALYSIS
then select Portfolio. A dialog box similar to the one we used to create a New
Strategy Group will pop up. In the Name field, type MyFirstPortfolio and then
click OK. After clicking OK a blank portfolio window will appear. The message in
the window (‘‘This portfolio does not have any strategy groups … ’’) is informing
you that you have not yet selected a strategy group. We can remedy this very quickly
by clicking on the Add Strategy Group button. A list of strategy groups will be
presented (see Figure 9.7). Select MyFirstStrategyGroup anditwillbeinserted
into MyFirstPortfolio (see Figure 9.8).
You might need to expand the boxes to see the Turtle 55 strategy and the
UGTATS Symbol List. The Portfolio window shows the different strategy groups
inside the Portfolio. You can have multiple Strategy Groups trading different
Strategies on different Symbol Lists. This is a very powerful tool—the ability
to merge multiple Strategies across multiple Symbol Lists. We touched on this
exact subject of Multiple Algorithmic Strategies (MAS) in Chapter 3.
Before we backtest the portfolio, let’s change the Strategy Group settings
by going back to the Strategy Group. Click on the Manage Strategy Group
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