Traders' Roundtable

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...

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 ...

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...