Portfolio Simulator

I’ve added a new script #493 which simulates a portfolio of strategies.

You select a handful of systems, set a scaling for each system to establish the relative volatility impact of that system on the portfolio, a starting capital which applies to all systems, and an overall scaling which in conjunction with the start cap will impact the portfolios overall volatility.

In both daily and monthly timeframes the script shows:

  • The CAGR, Max DrawDown stats, and last period result
  • The portfolio equity progression chart
  • The modified system equity progression chart

If selected some stats and a correlation table are also shown.

Multiple portfolios of systems can be entered and modelled in one shot

Put your own favourite systems in and let me know what you think. If there are errors I’ve made or if there are features or stats you think would be useful I’d be happy to hear about them.

(The default systems are simply a random top 5 Leaderboard selection and would be a poor portfolio as given in the script)