For some time we made use of TradeStation as a real-time charting and systems development package. As we formulated our Rules, it became apparent that the ability to test TradeStation strategies only on individual securities was a significant limitation in assessing the overall potential of a trading system. At the same time we struck up a relationship with SMARTeTrades.com who were in need of some tools to evaluate their TradeStation-based Buffet system on a portfolio of 1500+ stocks.
The result was our Portfolio Analyser application:
Written entirely in Smalltalk, the Portfolio Analyser takes as input a number of data files that are emitted from TradeStation as it runs a strategy on each stock in a portfolio. Typically, there will be one data file per stock and each file will contain information about the trades taken and the historical price bars for the stock during the times that trades are open. The trade information for all the stocks is combined in the Portfolio Analyser to give an overall picture of how the strategy would have behaved on the entire portfolio of stocks. A practical limit to the size of a portfolio might be around 10,000. The end result of the analysis is usually a PDF Report.