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Accurate Simulation of Portfolio Performance through Time
Once a model's predictive power, be it a simple single factor model or a complex non-linear model is understood, the stage is set for understanding how the model would actually trade in the "real world". The process for doing so, "strategy simulation", concerns itself with the detailed testing of trading rule-sets to determine the optimal buy / sell universe, trading rule criteria, factor weighting schemes, and risk controls that make up the "real-world" portfolio strategy. The majority of today's backtesting systems are based on proprietary scripting languages requiring traders and researchers to learn, program, and debug their own "code" for each and every test.
ModelStation® Strategy Simulation
ModelStation's Strategy Simulation module enables you to stress test and examine the behavior of your models using rules-based portfolio construction or portfolio optimization. The Strategy Simulation module blends the power of an industrial-class scripting environment, ModelScript, with the easy to use ModelStation framework, allowing you to focus on quickly developing and testing portfolio level strategies.
Key Benefits:
- Evaluate the effects of risk controls on strategy performance
- Determine optimal trading parameters for strategy execution
- Avoid having to learn proprietary scripting languages
- Avoid costly programming, debugging, and recompilation time
- Manage and optimize risk exposure before implementation
Feature Summary:
- ModelScript- Standards based, procedural language, with integrated debugger
- Trading strategy parameter optimization through proprietary genetic algorithms
- Integration to 3rd party DLLs
- Construct portfolios using custom buy/sell rules or historical portfolio optimization
- Round lot support
- Customizable rebalancing frequency
- Strategy templates covering event driven, relative value, and optimizer driven strategy styles
- Mutable Parameter / Constraints support (e.g. Long / Short Bias, Stop Loss and Profit Taking Settings, Entry and Exit Thresholds)
- Detailed P&L reports, trade charts, and performance metric
- Customizable Excel reports
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