I think it’s one of the really big things somewhat serious trader must be missing in PRT – portfolio analysis tool. I definetely miss, and I was pointing out precisely that few times in this forum already, and also suggested it as improvement directly to PRT. instead PRT is “focusing” to provide more useless toys, more indicators, more colours, what a pitty… I am doing my own portfolio analysis, in very basic way and it is still lot of effort. far away from what jebus created. still, better some analysis than none…

This is really impressive work. The way you did the correlation analysis, and also the Monte Carlo bootstrapping, and the drawdown heatmap with its per-algo breakdown.. you can tell that a lot of thought went into what metrics are truly important. You are not just throwing together some charts.

To answer your question, yes, it is absolutely worth putting in the shop. Because there is a real gap between “just exporting it from ProRealTime and praying for the best” and having a proper tool for portfolio-level analysis. The fact that it works just by dropping in Excel exports is a huge selling point. There is no setup friction, and no Python environment for the end user to configure. Whether you make it free, or paid, or open-source is entirely your call. But the community would benefit from it for sure.

@justisan As for the frustration about PRT not providing this natively, I get it. But to be fair to them, the development priorities in any platform are often driven by what the majority of users are asking for at a given time. For example, options trading was a massive demand from the community. Options traders needed a whole set of specific features. That probably doesn’t interest you much, and that is fine. But by the same token, those options traders wouldn’t have cared much about a portfolio analysis tool for automated trading either. It is always a balancing act. And niche but powerful needs, like this one, tend to fall through the cracks. That is exactly why it is great when someone from the community steps up and builds it themselves. And honestly, that is becoming more and more accessible nowadays with AI and vibe coding, so we can hope to see more of this kind of community-driven tooling going forward.

I think some kind of portfolio analysis has, really has to be part of basic package. as soon as one trades more than 1 system one needs “portfolio” analysis. and it has not be some magic, some super-sophisticated stuff: exactly same data&format which is currently available for backtest on 1 system/algo, would be more than ok if it would be available/calculated for a combination of xyz systems, + really the one new additional input needed is correlation between systems’ performances. that’s it. on other hand I can imagine very well, that it’s not a demand of “majority”… since “majority” disappears from the “screen” before they realize they would need a portfolio analysis.

jebus89 wrote: I use it to check both Futures and CFD algos.

In this great piece of work, don’t forget to add Commission in the workflow for Futures (of which I assume it is about PRT-IB); without Commission all will be useless/worthless (and PRT herself does not incorporate it for Live/Demo ProOrder stuff).

Of course the Commission has to be able to be set differently per instrument (NQ vs MNQ vs MGC etc.); Could be simple text files your back end reads.

I don’t want to make it too complicated, but have you thought of “rolling” aspect of Futures which require a new System each new Contract Period ? If that’s not in it, again it will appear “useless” (between quotes). And what about new Systems anyway (I would have them on a daily basis) of which for some I want to count in the historical trades and for some sure not because they failed (but may reside in the ProOrder form anyway). Note on this latter : for people (like me) often failed systems are even more important to (re)view than successful systems, meaning : they will be in there.

Please note : although you may want to incorporate this IBKR functionalities all for yourself anyway, consider that the IBKR AutoTrading users can be counted on one hand for wat we can see; maybe two. Maybe more in the future (like you yourself made the jump, I think).