Ultimate Algorithmic Trading System

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FIGURE 9.9 How to adjust the settings for a strategy group. Arrow 1 indicates the Manage
Strategy Group button. Arrow 2 highlights the Strategy Group Settings button. Arrow 3 points to
the controls that change the commission and slippage inputs.
PORTFOLIO ANALYSIS
still set to Futures. PM sometimes switches this back to Equities. Once you check
this, click the Manage Portfolios button and finally click Backtest Portfolio.
Another dialog window will appear that lets you change the test period, Initial
Capital, the Backtest Type (standard or optimization), and the Report Name
(Figure 9.10). You can also deselect certain markets by going to the Symbols tab.
Change the test period to start 10 Years Back.
If everything looks OK, then click Perform Backtest. The test might take a
few minutes if you have a large Symbol List. TradeStation first pulls the data from
their data servers and then applies the strategy to each market. I have a feeling
TradeStation will make this process much quicker by caching the data on the hard
drive in the future.
Once the test is complete, PM will ask if you would like to view the report now
or later. Go ahead and click Now. A window like the one in Figure 9.11 will open,
and show you the portfolio performance of your MyFirstPortfolio. Remember
this portfolio consists of two components, a strategy and a portfolio.
Figure 9.11 illustrates a portion of the performance metrics that are included in
the Summary report. This portfolio actually did pretty well over the past 10 years:
$739,684 in profits with an average trade of $426. You can scroll down and see a
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