Optimize a list (vs rules) for a strategy

Optimize a list (vs rules) for a strategy

Kiran
2016-02-25 16:45:46

I have a list of over 300 ETFs - manual selection of a universe of 30-40 ETFs based on various criteria (correlation, volatility, Sharpe etc) is tedious and not optimal.
1) Is there a way to run an optimization so the strategy simulates with different combinations of ETFs?
2) My list of ETFs are organized in 10 categories with low correlation (e.g. US Sectors, US Bonds, International etc) - an option is to select 3 ETFs from each category, and then cycle through different selections
3) Finally, is there a way to bulk-upload the Category Name along with the ETF symbol in the list (e.g. SPY - US Index, XLI - US Sector, AGG - Bond)? What's the best field-name to use for CategoryName (e.g. Name1 / Name2 etc) that doesn't conflict with other metadata?

QuantShare
2016-02-26 03:47:39

1/ Yes
http://www.quantshare.com/sa-291-select-the-best-etfs-combination-to-maximize-your-return-and-reduce-your-investment-risk

2/ Check the above link

3/ Symbol -> Import Symbols from a file

You can use any field for the category (Name1, Name2, Description, Full name, country...)

Get more messages

No more messages

Back


Trading Items Strategy Indicator - Percent winning trades for a trading rule List of Optionable Stocks for the US Market The Best trading rules for the ADX technical indicator Ignore Orders for Recently Sold Securities Scale-in Trading Strategy	How-to Lessons How to optimize a neural network using a genetic algorithm How to optimize the number of positions in a trading system How to associate an index with a list of stocks How to import your own list of stocks/symbols How to get stocks for a particular index using the global script
Related Forum Threads Optimize for each symbol and walk-forward test on list List of Dow 30 or Sp500 for example Per-symbol backtests - select symbol list dynamically (vs from a ... Different symbol list for Long/Short / custom portfolio categorie... Equity Curve and Trades list for out-of-sample Walk Forward test	Blog Posts Optimize a trading strategy using the Sharpe ratio Money Management: Optimize the scale-in strategy How to turn any ordinary trading strategy into a very profitable ... 6 techniques to improve the performance of your stock trading str... Synchronize Buy/Sell List of Rules in the Trading System Optimize...