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Gabriel,
I had a professional programmer write dlls and C programs that link to TS to perform portfolio and position sizing tasks. It was much more expensive and time consuming than either of us thought it would be but I now have unique programs that enable me to write any system in Easy Language and do portfolio and position sizing. It is awesome! Before this project, I purchased RINA and other add on programs but none performed as I wanted for position size and portfolio management.
I did this for myself because I am retired and do not want to do the work to sell it commercially. If I had known how much it would have cost and the hundreds/thousands of hours of debugging was required, I would have never started the project. However, now that it is done I am very pleased.
I am sending this post not to brag but to let you know that this is a lot bigger project than even professional programmers realized. Good luck!
Russ
>
> From: "Gray, Gabriel" <Gabriel.Gray@xxxxxxxxxxxxxxxxx>
> Date: 2004/06/11 Fri PM 04:53:06 EDT
> To: <Omega-list@xxxxxxxxxx>
> Subject: Best environment for Portfolio Analysis; R software
>
> Hello All,
>
> I am not trying to invite an argument bashing tradestation or praising
> other commercial environments, but am sincerely interested in back
> testing portfolio performance under different dynamic allocation
> scenarios. I would like to avoiding having to learn another commercial
> programming language, but am will to do so if necessary. I have some
> familiarity with VB, so my first thought is to export returns form TS to
> excel and write VB macros to change allocations and manage portfolio
> optimizations. Am I crazy or is there a better way?
> Another thought is to use the free software R. It is very close to S
> plus and supposedly has many of the same applications without the cost.
> I experimented with the Scheme based language, but it was not very user
> friendly and the free guides were not very thorough. Eventually, I gave
> up writing the language off as too much work. If Anyone had a different
> experience, I would love to hear about it. Anyone interested in R can
> download it for free at : http://www.r-project.org/
>
> As always, any advice is greatly appreciated,
>
> Gabriel
>
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