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Russ,
Thank you for your advice. If I may inquire, what were the disadvantages
of RINA and what were the major obstacles you encountered while
designing your own software? I have received other private emails that
encourage me to develop my own methods of testing. While I do not
believe this is will be easy at all, I do not see much of a choice. My
game plan is to export a series of unweighted returns for each
instrument. Synchronize the return streams, and then keep separate
variables for the portfolio value and instrument weights that are then
allowed to vary. Its no picnic, but I can imagine it will take more than
a 100 hours. Am I missing something? Thanks again for your assistance.
Gabriel
-----Original Message-----
From: rftonto@xxxxxxx [mailto:rftonto@xxxxxxx]
Sent: Saturday, June 12, 2004 11:19 AM
To: Omega-list@xxxxxxxxxx
Subject: Re: Best environment for Portfolio Analysis; R software
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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