The Short Version
TS-PortfolioMerge by George Pruitt and AlgoChef serve different stages of the systematic trading workflow. Portfolio Merge takes your TradeStation or MultiCharts XML reports and merges them into consolidated portfolio equity curves, then runs exhaustive M-of-N optimization to find the best strategy-market combinations. AlgoChef validates each individual strategy with 100+ metrics, Monte Carlo simulations, and Health Score monitoring.
Portfolio Merge finds the best portfolio mix. AlgoChef validates each strategy before and after you combine them.
These are complementary tools, not competitors. The most disciplined traders use both — validate the ingredients, then optimize the recipe.
Who Is TS-PortfolioMerge For?
TS-PortfolioMerge is built for TradeStation and MultiCharts traders who have multiple strategy-market combinations and need to find the optimal portfolio allocation. It was created by George Pruitt — a well-known algo trading author and developer whose books have helped shape how many traders approach systematic trading. His contributions to the trading community are significant and widely respected.
What Portfolio Merge does well:
- Equity curve merging. Import daily equity data from multiple TradeStation or MultiCharts XML reports and merge them into consolidated portfolio equity curves. See how your strategies perform together, not just individually.
- M-of-N exhaustive optimization. This is Portfolio Merge's standout feature. Given N strategy-market combinations, it tests every possible subset of M strategies to find the best portfolio. If you have 20 strategy-market combinations and want the best 8, Portfolio Merge will exhaustively test all possible combinations — potentially millions of them — to find the optimal subset.
- Correlation heat map. Visualize how your strategy-market combinations correlate with each other. Low correlation between portfolio components is one of the most important factors in portfolio construction.
- Per-file contribution analysis. Understand how much each strategy-market combination contributes to overall portfolio returns and drawdown. Know which strategies are carrying the portfolio and which are dragging it down.
- Drawdown overlap detection. See when multiple strategies are drawing down simultaneously — the scenario that creates portfolio-level pain even when individual strategies look acceptable.
If you trade TradeStation or MultiCharts and need to find the best subset of your strategies, Portfolio Merge is a focused, effective tool built by someone who deeply understands the problem.
Where AlgoChef Differs
AlgoChef and Portfolio Merge solve different problems. Portfolio Merge answers: "Which combination of my strategies creates the best portfolio?" AlgoChef answers: "Does each strategy actually have a genuine edge — and is that edge still intact?"
Individual Strategy Validation
Before you merge strategies into a portfolio, you need to know if each one deserves to be there.
AlgoChef validates every strategy on its own merits with 100+ metrics, CSI composite scoring, and detailed statistical analysis. A portfolio of five mediocre strategies merged optimally is still a portfolio of mediocre strategies. Validation comes first.
AlgoChef's CSI score synthesizes profitability, risk, and confidence into a single composite metric — giving you a clear, comparable assessment of each strategy's standalone quality before it enters any portfolio.
Monte Carlo Stress-Testing
AlgoChef runs Monte Carlo simulations with 5 methods including the proprietary Stress+ approach, generating up to 250,000+ iterations per strategy. You get confidence intervals for drawdown, probability of ruin calculations, and worst-case scenario analysis.
Portfolio Merge doesn't include Monte Carlo simulation. This means you can find the optimal strategy combination but can't stress-test how that combination (or its individual components) performs under adverse conditions.
The strategies that look best in historical backtests aren't always the most robust under stress. Monte Carlo reveals which strategies hold up when conditions shift — before your capital finds out the hard way.
Degradation Monitoring
Strategies don't fail overnight. They degrade gradually as market conditions evolve, and catching that degradation early is the difference between a controlled exit and a painful drawdown.
AlgoChef's Health Score continuously tracks in-sample vs. out-of-sample divergence across multiple dimensions. When a strategy in your merged portfolio starts degrading, AlgoChef catches it before your P&L does.
Portfolio Merge is a point-in-time analysis tool — it finds the optimal combination based on historical data. It doesn't monitor whether those strategies continue to perform as expected going forward. That ongoing monitoring is where AlgoChef fills the gap.
Platform Agnostic
AlgoChef is web-based and works on any device, any operating system. Import trade data from StrategyQuant X, TradeStation, MultiCharts, or any platform that exports CSV/XML trade logs.
Portfolio Merge is a Windows desktop application that requires TradeStation or MultiCharts XML report files. If you trade exclusively on those platforms and use Windows, that's not a limitation. If you use other platforms or need cross-device access, AlgoChef's web-based approach is more flexible.
When to Use TS-PortfolioMerge
Portfolio Merge is the right tool when:
- You trade TradeStation or MultiCharts exclusively. Portfolio Merge is purpose-built for these platforms' XML report format. It handles the data natively and efficiently.
- You need M-of-N optimization. Finding the best subset of strategy-market combinations from a larger pool is Portfolio Merge's core strength. No other retail tool does exhaustive M-of-N search this effectively.
- You want to visualize merged equity curves. Seeing how your strategies perform together — not just individually — is essential for portfolio construction. Portfolio Merge makes this straightforward.
- You need per-file contribution analysis. Understanding which strategies are contributing to returns vs. contributing to drawdown helps you make informed allocation decisions.
- You prefer a one-time purchase. Portfolio Merge is a one-time purchase with lifetime updates through the Founders' Pledge — no ongoing subscription. For traders who value that model, it's an attractive proposition from a trusted developer.
When to Use AlgoChef
AlgoChef is the right tool when:
- You need per-strategy validation before merging. You want to know whether each strategy has a genuine statistical edge before it enters any portfolio. 100+ metrics and CSI scoring give you that confidence.
- You want Monte Carlo stress-testing. You need to know how strategies perform under adverse conditions, not just historical best-case scenarios. Five simulation methods with 250K+ iterations provide the statistical rigor.
- You need degradation monitoring for live strategies. Strategies degrade over time. Automated Health Score monitoring catches it early so you can act before drawdowns compound.
- You trade on multiple platforms. AlgoChef imports from StrategyQuant X, TradeStation, MultiCharts, and any platform that exports CSV or XML trade data. Not locked to one ecosystem.
- You want 100+ metrics with CSI composite scoring. Standardized, comparable metrics across every strategy — with plain-English explanations and the CSI score that synthesizes profitability, risk, and confidence into a single number.
Pricing
TS-PortfolioMerge: One-time purchase with lifetime updates through the Founders' Pledge. No recurring subscription. A Windows desktop application you own outright.
AlgoChef is currently in free invitation-only beta. No paid plans have been announced yet.
The Verdict
TS-PortfolioMerge and AlgoChef are complementary tools for different stages of the portfolio workflow.
Portfolio Merge excels at finding the optimal combination from your strategies. Its M-of-N exhaustive optimization is a genuinely powerful capability — testing millions of strategy-market combinations to find the best subset is something no spreadsheet or manual process can replicate efficiently.
AlgoChef excels at validating whether each strategy deserves to be a candidate in the first place — and monitoring whether it stays that way over time. 100+ metrics, Monte Carlo stress-testing, and automated degradation monitoring provide the validation layer that portfolio construction depends on.
The most disciplined systematic traders validate first (AlgoChef), combine optimally (Portfolio Merge), then monitor for degradation (AlgoChef again).
George Pruitt built a focused, effective tool for portfolio construction. AlgoChef provides the validation layer around it. Portfolio Merge finds the best mix. AlgoChef validates each ingredient.
Use both. Your portfolio will be stronger for it.