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...)

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