Search found 3 matches

by ezbentley
Mon Jan 12, 2009 7:52 pm
Forum: Testing and Simulation
Topic: Any software to test multi-system portfolio performance?
Replies: 7
Views: 3934

Any software to test multi-system portfolio performance?

Does anyone know any software package that does backtesting on a multi-strategy portfolio? To the best of my understanding, TradeStation is not capable of this. I am mainly interested in testing the effectiveness of diversifying different strategies. For example, if I allocate half of my fund to a t...
by ezbentley
Fri Apr 04, 2008 11:41 am
Forum: Money Management
Topic: A beginnner's question on optimal leverage ratio
Replies: 4
Views: 5366

Thanks a lot for both replies. I am fully aware that the optimal leverage is only optimal when the only objective is to maximize return without regard to the potential risk, and therefore can be pretty useless in actual trading. I am however curious in the theoretical derivation of this mu/variance ...
by ezbentley
Wed Apr 02, 2008 3:27 pm
Forum: Money Management
Topic: A beginnner's question on optimal leverage ratio
Replies: 4
Views: 5366

A beginnner's question on optimal leverage ratio

In the book Quantitative Trading Strategies, Lars Kestner mentioned that the optimal leverage for a trading strategy is equal to the mean of return divided by the variance of return. This seems to be a result of Harry Markowitz's modern portfolio theory. Can anyone help me understand the concept and...