Hello!
I was missing an easy-to-use Monte Carlo tool and Portfolio Analyzer for ProRealTime. So I decided to build my own! They’re now available on the Marketplace.
I’m especially excited about releasing the Portfolio Analyzer, because as we all know, the holy grail in algorithmic trading is a diversified algo portfolio. 🙂
Here’s a quick overview:
Monte Carlo for Algorithmic Trading
Run Monte Carlo simulations on your trading algorithms to test their robustness. It’s a great addition to your robustness testing process.
Read more about it here: https://market.prorealcode.com/product/monte-carlo-for-algorithmic-trading/
Portfolio Analyzer for Algorithmic Trading
A powerful tool to analyze the correlation between all algos in your portfolio, as well as finding the best subset of your algos based on metrics like lowest max drawdown
- View your combined equity curve and max drawdown and the correlation between your algorithms.
- Optimize your portfolio by selecting the best subset of algos based on metrics like lowest max drawdown, Net Profit / Max Drawdown, or Sharpe ratio. For example, if you have 10 strategies, the best risk-adjusted return might come from trading only 8 of them.
Read more about it here: https://market.prorealcode.com/product/portfolio-analyzer-for-algorithmic-trading/
If you are interested to get them in a bundle, you can do it here: https://market.prorealcode.com/product/bundle-monte-carlo-and-portfolio-analyzer/
I hope you find these tools helpful! Feel free to reach out if you have any questions or feature requests.
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