Portfolio Evaluator 2.5

By Stridsman, Thomas | Futures (Cedar Falls, IA), January 1998 | Go to article overview

Portfolio Evaluator 2.5


Stridsman, Thomas, Futures (Cedar Falls, IA)


Portfolio Evaluator 2.5 Rina Systems Inc. 7854 Weavers Lane Maineville, Ohio 45039 (513) 772-7462 fax: (513) 771-7185

Price: $995 for Portfolio Evaluator, including Performance Summary Plus ($699) and all necessary files for exporting data from TradeStation/SuperCharts. Optional service contracts available starting at $125 per year.

Complexity level: Intermediate to professional

Overall rating: ****

Recommended hardware: IBM PC or 100% compatible, Pentium processor, 8MB of RAM, Windows 3.1 or 95, 10MB hard drive space, Omega TradeStation or SuperCharts.

For those who are interested in building mechanical trading systems in Omega TradeStation or SuperCharts, Rina System's Portfolio Evaluator 2.5 (which also includes Performance Summary Plus) is a must because with this add-on software package, you can evaluate trading systems quickly and efficiently in a multitude of ways. However, this is not your standard technical analysis or charting software and instead should be viewed as your insurance for a long-lived and prosperous trading experience.

Individual reports

After installing the program and the extra indicator needed by TradeStation/SuperCharts, you'll start by creating a couple individual market reports, each consisting of several analytical tools conveniently and logically located under six separate tabs in the program.

The first tab, or section, is the systems section, under which you'll find the most basic numbers for system performance, much like in Omega's system reports. In addition, you also will find various adjusted and selected gross and net values, which will provide a more realistic interpretation of your system's capability. The selected net profit, for instance, is calculated by ignoring all trades that are more than three standard deviations from the mean.

Other useful analysis methods in this section are the runup/ drawdown calculations and their averages. (In all, there are no fewer than five different drawdown measurements.) These provide the system's normal profit/loss potential. Also included here is the coefficient of variation, which measures the system's statistical stability, or robustness.

The entry, exit and total eff ciency measurements let you track the system's effectiveness at pinpointing entries and exits to help get "the most bang for your buck." This also holds true for time analysis - under its own tab - which not only allows you to measure the effective time you spend in the market but also gives a detailed analysis of your trades on a barby-bar basis. The time analysis, together with the selected net profit and the drawdown, also makes up the Rina-index, which is a useful indicator to measure the system's overall performance.

Among many other topics and analysis methods covered are multiple risk/reward ratios (including the classic Sharpe ratio, Jack Schwager's Return Retracement Ratio and Lars Kestner's K-Ratio) and trade series analysis. …

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