Portfolio System Optimization

Discussion in 'Strategy Building' started by dima777, Sep 9, 2008.

  1. dima777

    dima777

    Hi!
    Can you please list any software which allows to optimize a trading strategy across a set of different symbols/time frames at the same time - not one by one. I am able to do this in Excel but am interested if other packages can do this.
    Thanks
     
  2. LOL...

    You're the 98% knowing guru in ET....

    Why ask such a newbie question?

    I think we're not worthy of providing you with that type of information... as you already know 98% of what people have to say in here.

    And not to mention, you have a website and a retail service that teaches hedge funds how to trade....
     
  3. dima777

    dima777

    Take it easy, man...I do not know the answer to this question...
     
  4. dima777

    dima777

    If anyone is interested I found one software which does this - Portfolio Stream by Rina:

    http://www.rinafinancial.com/portfoliodifferences.asp


    Cheers!
     
  5. ronblack

    ronblack

    I would like to know the theoretical justification for this. Why prefer a startegy optimized across a set of different markets/time frames as opposed to one that is optimized for each market/time frame and then taking the mean value of the parameters or selecting their value based on some other criteria given their distribution?

    Ron
     
  6. Tums

    Tums

    http://www.tssupport.com/multicharts/portfolio/



    Caution: This program is still in beta. Many features are not fully supported yet.
     
  7. dima777

    dima777

    the theoretical justification is if you are going to trade the system across the portfolio you might want to trade only one version of the system which performs more or less good on all of the instruments. If you find such parameter combination they are much more likely to be robust as opposed to using different parameters sets of the same system for each of the markets...this is especially true if you are planning to trade dynamic portfolio - picking and dropping instruments for the trading - from the universe of available ones...
     
  8. dima777

    dima777

  9. What do you mean theoretical justification? You're doing it on your Excel sheet right? Are you using something without any clear justification?

    You mention, about finding robust combinations. Tell us what conditions to look for to identify a robust combination?
     
  10. lindq

    lindq


    Investor RT at www.linnsoft.com
     
    #10     Sep 9, 2008