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bluewhale  
#1 Posted : Saturday, December 17, 2011 1:59:09 PM(UTC)
bluewhale

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Can metastock backtest on a portfolio basis? The scenario is 20 security universe, I want to backtest selecting the top ranked relative strength securities. maybe buy the top 2 each month. Can metastock backtesting handle these types of scenarios?
mstt  
#2 Posted : Saturday, December 17, 2011 6:06:22 PM(UTC)
mstt

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Hi BW

I don't believe this can be done with MetaStock as it is delivered. AmiBroker has a Scan function that allows a portfolio to be sorted on the fly by almost any criteria and it would be nice if MetaStock could do the same. Nevertheless a set of tools were presented in an early issue of MSTT that facilitated the sort of thing that you are trying to. Harry Ward presented a monthly system that always held the top 6 funds by ROC.

The procedure involves first running a series of explorations (two or three in your case) to develop the required number of GV (global variable) data arrays - one ranking value to be stored by each data array.

The system was designed to be run using my Trade Equity tools but it could also be adapted to work with the EST or TradeSim (just using the explorations to set up the GV ranking values). There's a bit more to it than I can cover here but for the price of one newsletter I can supply the article and support you with the implementation of the procedure.

Roy
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