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Another feature to ad to the list. Load a transaction file from another
portfolio management application and use the functionality of NeoTicker to
analyze its performance.
-----Original Message-----
From: Gary Fritz [mailto:fritz@xxxxxxxx]
Sent: Wednesday, August 29, 2001 11:08 AM
To: omega-list@xxxxxxxxxx
Subject: Re: NeoTicker (was Re: EL to VB translator)
> : let me know what do you mean by portfolio capabilities ...
>
> Portfolio optimization for the Sharpe Ratio. Maybe we're asking
> too much, but that's the ideal feature we need.
And to me that means any or all of the following:
* Run 1 system on N markets with same parameters on all markets.
* Same, but with different parameters for each market.
* Run N systems on M markets, perhaps with linkage between
parameters. E.g. system A runs on markets 1,2,3, and system B
runs on markets 4,5,6. I want to be able to optimize A with
same params or different params on its 3 markets as above,
and also have B use some of the same values on its markets.
* Handling any mixture of timeframes, e.g. markets 1, 3, and 5 are
EOD, 2 and 4 are intraday, 6 is weekly.
Optimizing on Sharpe ratio is the most important measurement, but it
should not be the only one. User-specified "goodness" measure is
best.
Out-of-sample testing should be included -- e.g. tune the portfolio
for Sharpe or other user-specified measure, but also show the
performance of each parameter set on a set of unseen data.
Portfolio tests should include extensive statistics & charts on the
portfolio performance. Should be able to adjust the weighting of the
different systems/markets within the portfolio, either as an
optimization parameter OR after the optimization.
I'm sure there's more but that's what comes to mind...
Gary
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