Re: [amibroker] Portfolio Optimization

 

Thank you Steve,

These are good links, however, because we have all the stats already build-in in Amibroker I was thinking of using the Optimizer/Portfolio Backtester and then select the best portfolio by sorting the summary rows.

I envisage that, because of the large number of combinations involved, the process can be simplified by pre-screening the individual tickers on the basis of individual performance for the portfolio trading system. The optimizer is extremely fast so it might just be possible to do this with the tools we have.

Since this would seem a standard task for portfolio traders I would like to hear from traders who have actually done this, or have looked into the possibility of doing so. Perhaps the special optimizer engines (spso, trib, or vmae) can be used to find some good ticker combinations.

Thanks again Steve!

Herman

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Posted by: psytek@bell.net
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