Portfolio level backtesting and custom index creation
Author: cunparis
Creation Date: 9/4/2008 2:34 PM
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cunparis

#1
I am consdiering Wealthlab for implementing a my trading strategies, starting with a really simple one. Could you tell me if Wealthlab can do this? I'm a Java developer so learning a new language especially C# is not a problem.

Here is my strategy, I need to backtest it, optimize it, and then automate it. It seems some programs can do backtest but not automate and vice versa.

- each day I want to scan a watchlist of around 10-50 symbols (stocks and futures, updated by me, by hand maybe once a week)
- the scan is for certain indicator criteria, for example macd recently
crossed over, stoch. Those are examples, I plan to develop my custom indicators to use
- I'd like to rank the results, for example by stoch or by volume increase
I'd then like to buy the top x stocks (configurable of course)
I'd like to configure the exact entry, exit, and stop

I'd like to backtest this strategy over a long period and show the results. For example would it be better to trade the top 4 or 5 stocks? Should I hold 5 days max or 10? I want to backtest to answer important questions like these. Then I'd like to eventually automate it (I use IB).

Thanks in advance for the information.
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Cone

#2
This is a "Symbol Rotation" strategy. We gave an example of this years ago in Version 4: Performing Symbol Rotation in a ChartScript, and, in Version 5, it's included with the installation along with a handful of other strategies.

Version 5 doesn't have an optimizer yet (although in V5 you can incorporate "sliders" to quickly modify strategy parameters), but this and other features will be release in phases.
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Eugene

#3
QUOTE:
Then I'd like to eventually automate it (I use IB).

This will be the tough part because WLD5 doesn't directly support automated trading. But able programmer could be able to devise some workaround.
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cunparis

#4
Thanks for the reply on the automation part, I wasn't aware of the fact that Wealth-lab doesn't do this.
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Eugene

#5
Actually Broker API was available in now discontinued Wealth-Lab V4, used by tools like IBData2. However, presently automated trading is catered to Fidelity customers in U.S. only.