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Patrik
2015-01-03 13:43:05
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Hello,
I build trading system that selects 2 ETFs out of 6 ETFs. The software automatically allocates 50% into those 2 top ranked ETFs.
What I am trying to do is to use optimal weight (based on the best sharpe ratio of last 3 months). For that I want to use MMS.
I downloaded MMS "Custom Weight for Individual Securities" and I tried to get optimum weights for just 2 ETFs (not selected top 2 out of 6 ETFs), but just 2 ETFs (SPY, TLT) using
Walk-Forward Testing, where the In-Sample best sharpe ratio allocation (past 3 months) was used for out of sample weights (next 3 months), but the problem is that the used script does not keep total allocation to 100.
I used Optimize Weight 1 (from 0 to 100, step 10) and the same for Weight 2, but optimization process used sometimes weights 80 and 90 (leverage 170%).
Could you pls help me to adjust the script in a way that total weight for both ETFs will be kept at 100. Second step would be apply this to top 2 ETFs (from the list of 6), not just 2 ETFs (SPY, TLT).
Thanks.
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(by QuantShare,
uploaded several months ago)
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