Description

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Programming a strategy that works on a diverse portfolio is not an easy task. Especially one that trades commodities and futures. TradeStation(TM) EasyLanguage is a great tool to get your trading ideas into code, but it is difficult to apply your algorithm one chart at a time. Enter the Maestro. This program can test your algorithm over a large portfolio of different markets simultaneously. Have you ever wondered if your bond strategy would work in the grains? With this guide you can build a portfolio of different symbols and then apply as many algorithms as you want. What if your algorithm does not do well initially. Should you throw it out? No - not right off the bat. Maybe you should optimize one or more parameters across the entire portfolio so see if your algorithm just needs a little fine tuning. If you find a set of parameters that works across a large swath of markets, then you might be onto something.

I will be the first to admit it. Portfolio Maestro(TM) is not easy to set up. What is the use of a powerful tool, if you can't figure out how to use it? Enter George. You may be familiar with my Easing Into EasyLanguage series. Where I gently educate on the use of EasyLanguage with videos and complete code snippets. I use the same approach, videos, screenshots, and code to visually get you started on Maestro. Here are the building blocks of Maestro.

• Portfolio - a combination of strategies and custom symbol lists.
  • Strategy Group 1 - Combination Trend/Swing with Regime Switch.
    • Custom Symbol List 1 -
      • JY
      • EC
      • CL and 20 others
  • Strategy Group 2 - Longer Term Trend Following System using RSI
    • Custom Symbol List 2
      • 20+ Markets
  • Strategy Group 3 - Bollinger Based Tactical Algorithm
    • Custom Symbol List 1
      • 20+ Markets
• Compliant EasyLanguage Code
• Create Strategy with optimizable inputs
• Create Strategy with market-by-market optimizations
• Create Custom Symbol List (FuturesSMALLPortfolio)
  • Run Backtest
  • Use market-by-market parameter sets
  • Adjust Strategy Settings to allow optimization
• Analyze Results
• Run Portfolio with Global Optimization
  • Create Search Space for each Optimizable Input
  • Run Optimization Genetic Algorithm]
• Analyze Results

Includes over 100 screenshots and free access to George's Maestro video library.