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Using Multicharts Portfolio Trader to Find Trading Patterns in the Market with Global Variables




I use many different tools to develop and backtest portfolios of trading systems. My Portfolio Calculator (in Microsoft Excel) is the main tool that I use to track end of day combined trading systems analysis. It takes some time to setup, but once it is setup, testing different combinations of systems is quick.


What happens when I want to test a new rule for a long list of strategies and then quickly see how it would work in a portfolio? The fastest approach is to setup your strategies with Global Variables in Multicharts. For my research, I have added Global Variables in the form of Functions. Each trading system references the Global Variable functions. 


If I want to test the portfolio with Long Only trades, I can go to my GlobalTakeShortTrades function and set it to False.


If I want to test trade entries only after 11 am EST to avoid the morning chop, I can go to my GlobalCondition function and set it to Time>1100.


Since all of my strategies reference these Global Variable, it can be quickly tested in the Multicharts Portfolio Trader. It would probably take me a solid week to test a global idea using my Excel Portfolio Calculator method (even if I had the Global Variables in Easylanguage for Tradestation, exporting all the data and re-importing into Excel would be a multi-day job). With the Multicharts Portfolio Trader, if I have 10 ideas to test, I can test them in the evening using this method. 


For our portfolio setups, it is good to have some clarity on why our strategies have gone through this drawdown. The market is extremely biased to long only trades after 11 am EST. Avoiding the first hour and avoiding all shorts is an extreme bias. We can see this in a longer term backtest. 


The results are clear, since mid 2022, when the stock market thought the Fed was about to pivot, the market has been bid up and biased to the long side (even though the Fed still hasn't lowered rates as we approach the two year mark of when the market thought the Fed would lower rates).

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