Help Required With Portfolio Trader

Questions about MultiCharts and user contributed studies.
TealTrading88
Posts: 1
Joined: 30 Nov 2018

Help Required With Portfolio Trader

Postby TealTrading88 » 03 Dec 2018

I'm just getting to grips with the Portfolio Trader within Multicharts. Being a long standing user of TS, in the past I used to export the individual equity curves from each run on each symbol and then combine them into a portfolio equity curve using a custom app that I'd built. I'm trying now to reproduce what I used to do within the Portfolio Trader but am rather struggling.

1) It seems that the model with Portfolio Trader is that the signals now just generate the buy and sell triggers and the Portfolio Money Management Signal dictates the sizing. Is my understanding of this model correct?

2) If no PMMS is applied to the portfolio what sizing is used? Does it just use the trade sizes that the signal itself generates?

3). I'm presently testing a portfolio of FX markets. How is FX treated in Multicharts? I guess that stocks are treated as unleveraged instruments by MC so with $10k of capital and a stock price of $10 you can buy 1000 shares. Futures on the other hand are leveraged so if I set the "Margin value % of contract" in the Portfolio to 0% then I am guessing that I can in theory buy almost unlimited contracts. What about FX though? In reality you can get ridiculous leverage with FX though in the Quote Manager there doesn't seem to be a Margin field as there is in futures. Are they treated as leveraged at all? If not then the trade sizing will be severely affected by the Portfolio allocation part of the process.

4). All I actually want to do in the first instance is to run my entire FX portfolio without the dynamic portfolio management interfering in any way. So I want all my signals to execute at the size that is set in the signal. What do I need to do in the Portfolio Trader settings to ensure that this occurs?

5). I'm back-testing a long way back but not all my data goes back this far. What I used to do is that the amount of capital allocated to each signal was the total portfolio size divided by the number of markets that were actively trading at that time. So as more markets came on-line the capital would be equally divided between them all. To illustrate with number: on a $10M portfolio with 10 markets trading from 1980 then we'd have $1M of capital per market. Come 1990 and we might now have 20 markets on-line so we'd only have $0.5M per market and less money is being traded with each market. How can I reproduce this within the Portfolio Trader framework?

Thanks in anticipation

User avatar
fbertram
Posts: 166
Joined: 16 Oct 2014
Location: Seattle, USA
Has thanked: 36 times
Been thanked: 73 times
Contact:

Re: Help Required With Portfolio Trader

Postby fbertram » 03 Dec 2018

Hi TealTrader88,

I usually code on the .net version of MultiCharts, but let me try to help you with your questions anyways.
1) It seems that the model with Portfolio Trader is that the signals now just generate the buy and sell triggers and the Portfolio Money Management Signal dictates the sizing. Is my understanding of this model correct?
2) If no PMMS is applied to the portfolio what sizing is used? Does it just use the trade sizes that the signal itself generates?
You can use MultiCharts like this, but you don't have to. If your trading signal includes order quantities, these will be used unless the money-management signal overrides these.
3). I'm presently testing a portfolio of FX markets.... Are they treated as leveraged at all? If not then the trade sizing will be severely affected by the Portfolio allocation part of the process.
I don't know the answer to this one...
4). All I actually want to do in the first instance is to run my entire FX portfolio without the dynamic portfolio management interfering in any way. So I want all my signals to execute at the size that is set in the signal. What do I need to do in the Portfolio Trader settings to ensure that this occurs?
The best thing to do in this case is not to have a money-management signal. It is optional, not mandatory.
5). I'm back-testing a long way back but not all my data goes back this far... How can I reproduce this within the Portfolio Trader framework?
You would need to communicate the status of your strategies to the money-management signal, e.g. using pmm_set_my_named_num. The money-managment signal could read that value using pmms_get_strategy_named_num. Now your portfolio signal can allocate funds to the individual signals, using pmms_set_strategey_named_num, which the individual strategies coudl read using pmm_get_my_named_num. See here for more info:
https://www.multicharts.com/trading-sof ... Management

Hope this helps,
best regards,

Felix

User avatar
Anna MultiCharts
Posts: 449
Joined: 14 Jul 2017
Has thanked: 31 times
Been thanked: 111 times

Re: Help Required With Portfolio Trader

Postby Anna MultiCharts » 07 Dec 2018

Hello, TealTrading88!

1) PMM signals don’t dictate the size, but they can modify it for entries with the help of pmms_strategy_set_entry_contracts if required

2) the trade size can be set either from the code or from Strategy Properties -> Properties -> Trade size

3) right, there are no margin settings for FX in QuoteManager, but margin settings of Portfolio can be applied to any security types that you’d like to use there. When you specify margin settings for a FX portfolio, please take into account the lot size on your account and set the Big Point Value in symbol settings in QuoteManager accordingly

4) for this please increase the Maximum shares/contracts per position setting in Strategy Properties -> Properties and make sure that your portfolio capital is enough for entering the positions for the required number of contracts

5) I’m afraid there’s no way you can achieve this with just 1 portfolio. Portfolio will distribute the capital between all symbols in it from the start.

More about Strategy Properties:
https://www.multicharts.com/trading-sof ... Properties
More about Portfolio: https://www.multicharts.com/trading-sof ... io_Trading


Return to “MultiCharts”