Find trading strategies that work on multiple instruments with Portfoliolizer and StrategyQuant

Are you having difficulty to find and select trading strategies that work across different markets without testing them one-by-one?

Introducing ...

Portfoliolizer: Multi-Market Trading Strategy Robustness Scanner

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Here's How Portfoliolizer Works

Portfoliolizer scans your large sample of trading strategies [i.e.,2k to 20k] and finds the ones that work well across different currencies or instruments. It searches for best combinations of instruments of the same strategy and tells you which ones work over a large sample of them.

One strategy might work on 5 instruments out of 20 tested, while another strategy might work on other 10, but it could be any combination of them. Portfoliolizer helps you find those combinations over a large sample of strategies.

STEP #1:
Generate large sample of trading strategies using StrategyQuant

Generate many trading strategies with StrategyQuant and save .str files

Generate many trading strategies with StrategyQuant and save .str files

The idea here is to generate lots of trading strategies using the StrategyQuant. We recommend at least 1,000, or even better 10,000 strategies. This would take a few days or less.

Do not use very strict ranking options. It's completely okay to have "not so good" strategies in the data bank. You never know which one of them may work perfectly on other instrument(s).

When generating strategies, do this in one attempt. I mean do not stop the strategy generation and continue it with other parameters. This would make it impossible to retest strategies later. It's okay to stop generation, change building blocks and continue.

Once you have a large sample of trading systems generated, save them as .str files for backup. You will need these later so you could export it in MetaTrader 4, Ninjatrader or TradeStation format.

STEP #2:
Retest and Save .CSV file for each instrument

Retest trading strategies on many instruments and save CSV file for each

Retest trading strategies on many instruments and save CSV file for each

Retest all trading strategies on as many different instruments as you want (EURUSD, GBPUSD, GER30, XAUUSD, etc).

You need to save .CSV file for each instrument. Use instrument name as a file name for convenience (i.e. for EURUSD strategies save the CSV file as EURUSD.csv).

When retesting, you can do a simple "Every Tick" backtest or even perform robustness checks.

STEP #3:
Upload your CSV files on Portfoliolizer

Pack CSV files into .ZIP and upload to Portfoliolizer

Pack CSV files into .ZIP and upload to Portfoliolizer

After you create CSV file for each instrument you want to scan, compress all CSV files into a .ZIP archive (compressed folder).

Upload this .ZIP file on Portfoliolizer to create your "CSV Pack".

STEP #4:
Scan selected CSV files to find portfolios

Scan selected CSV files with filters to find portfolios

Scan selected CSV files with filters to find portfolios

Portfoliolizer will scan your CSV files and will try to find which of the strategies fit your criteria on multiple instruments. You can set a minimum amount of instruments in portfolio.

You also need to set at least one filtering criteria. This tells Portfoliolizer which strategies can be added to the portfolio.

Example 1:

Minimum instruments in portfolio: 3
Return/Drawdown ratio equal of greater than 2

If there is a strategy that has Return/DD ratio of at least 2 on three instruments or more, Portfoliolizer will add it to a list of possible multi-instrument portfolios.

Example 2:

Minimum instruments in portfolio: 5
Return/Drawdown ratio greater than or equal to 3
Number of Trades greater or equal to 100

If there is a strategy that has Return/DD ratio of at least 3 with at least 100 trades on five instruments or more, Portfoliolizer will add it to a list of possible multi-instrument portfolios.

STEP #5:
Export strategies to MT4, Ninjatrader or Tradestation

Export strategies to MT4, Ninjatrader or Tradestation

Export strategies to MT4, Ninjatrader or Tradestation

When you find trading strategies that work on multiple markets/instruments, you need to load their .str files into StrategyQuant and export it in MT4, Ninjatrader or Tradestation format.

Install the exported automated trading strategy on your trading platform. You already know on which instruments it works.

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