Re: [amibroker] Portfolio Optimization

 

Ton,
you can put any value you want. It is just an example.

this is the weight per each ticket and has to be between 0 and 1.


The original code
http://www.amibroker.com/members/library/detail.php?id=1357&hilite=OptimizerSetEngine

explains the background.



On 11/04/2016 10:15, 'Ton Sieverding' ton.sieverding@scarlet.be [amibroker] wrote:
 



Thanks for the code. Can you please give me the complete code as most of the used vars come with initialization errors ( DefW, MinW, MaxW, SteW etc. )

 

Kind regards, Ton.

 

----- Original Message -----
Sent: Monday, April 11, 2016 7:31 AM
Subject: Re: [amibroker] Portfolio Optimization

 

Below you can find the come that may do the job you are looking for. It works well on one model (only).
If you want to run it in more than one model, then you have to write an external application to get the results of each model and put them together.

The original code was posted in AB and available at:

http://www.amibroker.com/members/library/detail.php?id=1357&hilite=OptimizerSetEngine

//====================================
// Portfolio Optimization
//====================================
SW=0; Weightcurrent=0;
for ( i = 0;i < numtickers;i++ )
{
    ticker = StrExtract( TickerList, i );
    weight[i] = Optimize( ticker, DefW, MinW, MaxW, SteW );
    SW = SW + weight[i];
}
if ( SW <= Budget AND SW>=MinBudget)
{
    for ( i = 0;i < numtickers;i++ )
    {
        if ( StrExtract( TickerList, i ) == Name() )
            weightCurrent = weight[i];
    }
    PositionSize = -99.99 *weightCurrent;
}
else
PositionSize = 0;
SetOption("MaxOpenPositions",numtickers);






On 10/04/2016 23:46, psytek@bell.net [amibroker] wrote:
 

Has anyone attempted to write a portfolio optimization program to select the best portfolio of n tickers from a watchlist of m tickers?

I know the numbers get rather large... but perhaps there are sneaky ways around this?

Herman




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