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Portfolio optimization
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Hi, I guess it is not directly related to our forum but I still want to ask since I didn't find any reasonable answer yet elsewhere. I'm trading tens of various strategies on various instruments via TWS and using another commercial system for the strategy development and research purposes. Recently I attempted to find a software that allows to perform an optimization on the whole portfolio rather than every single signal. I'm looking for an ability of genetic optimization with walk-forwarding and dynamic portfolio rebalancing in intraday trading. Any recommendations? If you think this really does not belong to this forum, please answer me directly. I don't mind a recommendation for an institutional-grade software. Thanks in advance Ed |
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Hi Edward, Portfolio optimisation, at least successful portfolio optimisation is the tricker cousin of successful trading -? a very rare commodity. People are probably not going to tell you if they think they have it solved.? However, all is not lost - You will find many libraries will have Markowitz style so-called modern portfolio theory optimizers. Your own definition of a portfolio that is optimal is probably a personal view, so I think take a look at the optimisers that are available, when I did this in 2009 there were example solutions available in languages like S-Plus (which is compatible with R) which at least gave an understanding of what is out there. Happy to discuss this a little off the group. Best wishes, M On Tue, 27 Oct 2020 at 20:24, Edward <ed.gonen@...> wrote:
-- +44 (0) 7528 551604? Gulfstream Software - Winner Risk Management Awards 2010 This message is subject to : |
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