Ultimate Algorithmic Trading System

FIGURE 9.14 The Total P/L option displays individual profit and loss data for every market in
the portfolio.
Source: TradeStation
tab about halfway down (Figure 9.15). This Turtle-like algorithm produced over
$700K in profit but had a $201K drawdown. Not too bad, considering the size of
the portfolio. The energy sector packed most of the punch, as you can see from the
histogram.
This ability to merge the different equity curves together has not always been
available in TradeStation. The lack of portfolio analysis was the major criticism of
TradeStation over the years, but with the advent of PM, the critics have a lot less to
complain about.
Fixed Fractional Money Management Overlay
Now that we know how to create a Strategy Group and a Portfolio, wecan
now apply a money management overlay and test it. With PM still on your screen,
click the Manage Strategy Groups button and then the Money Management
tab. In the Money Management window you will find a dropdown menu labeled
Method. Click the down arrow and select Fixed Fractional with ATR Risk.
The resulting dialog box gives you the opportunity to change the parameters built
into the Fixed Fractional formula. You can change these parameters:
■
■
Percent Risk—The amount of capital to risk on each and every trade. Set this
to 1 percent.
ATR Multiplier—The number of times you want to multiply the ATR to
estimate perceived market risk. The larger this number the riskier you perceive
the market to be. Set this to two.
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PORTFOLIO ANALYSIS
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