Tag Archives: Optimization

Reminder for Portfolio Optimization and Money Management demos TONITE!

Portfolio Optimization and Money Management demos
Reminder for tonite!

1. Please join my meeting, June 2, 2015 at 8:00 PM Eastern Daylight Time

.
https://global.gotomeeting.com/join/701763925

2. Use your microphone and speakers (VoIP) – a headset is recommended. Or, call in using your telephone.
Canada: +1 (647) 497-9351
Australia: +61 2 8355 1024
Austria: +43 (0) 7 2088 1403
Belgium: +32 (0) 28 93 7019
Denmark: +45 (0) 69 91 88 64
Finland: +358 (0) 942 41 5780
France: +33 (0) 182 880 459
Germany: +49 (0) 692 5736 7210
Ireland: +353 (0) 14 845 978

Italy: +39 0 553 98 95 67
Netherlands: +31 (0) 208 080 381
New Zealand: +64 (0) 4 974 7214
Norway: +47 21 03 58 98
Spain: +34 955 32 0845
Sweden: +46 (0) 853 527 836
Switzerland: +41 (0) 435 0167 09
United Kingdom: +44 (0) 330 221 0086
United States: +1 (224) 501-3217
Access Code: 701-763-925
Audio PIN: Shown after joining the meeting

http://www.meetup.com/quant-finance/events/222809894/
http://www.meetup.com/R-Matlab-Users/events/222809893/

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Portfolio Optimization and Money Management Meetup

Portfolio Optimization and Money Management Meetups

Note the change in time of 8PM Eastern Standard instead of the usual 7pm.

We are in the last step but major one before talking about connectivity to a live trading broker. In my case this will be Oanda but that is another day. I am happy to showcase some very powerful Matlab demo apps I am considering to use for my portfolio optimization and money management components for my upcoming automated trading system. There will be a series of demos (videos exist) that will cover the following topics:

Conditional Value at Risk with calibration, option covered and uncovered calls, mean variance portfolio optimization, slippage probability, and calculate multiple payoffs.

Demo with time evolution for max Sharpe, impact of transaction costs on a backtest, etc

Portfolio demo tool that showcases efficient frontier where each data point generates plots of portfolio allocation, weight, relative performance, value at risk, and key metrics.

CAPM Demo with estimating from missing data

This could be a lengthy presentation so it might need to be broken into 2 parts so let me know.

Due to the lengthy content, I will not be able to repeat the demos from the Risk Management as originally thought.

Portfolio Optimization and Money Management demos

Tuesday, Jun 2, 2015, 8:00 PM

GotoMeeting Webinar online
GotoMeeting Webinar online Toronto, ON

13 Researching Traders Went

Note the change in time of 8PM Eastern Standard instead of the usual 7pm. We are in the last step but major one before talking about connectivity to a live trading broker. In my case this will be Oanda but that is another day. I am happy to showcase some very powerful Matlab demo apps I am considering to use for my portfolio optimization and money …

Check out this Meetup →

Portfolio Optimization and Money Management demos

Tuesday, Jun 2, 2015, 8:00 PM

14 Members Went

Check out this Meetup →

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

More portfolio optimization in Matlab

More portfolio optimization in Matlab

This shows why Backtesting is not as important as you think

http://www.mathworks.com/videos/analyzing-investment-strategies-with-cvar-portfolio-optimization-in-matlab-81942.html?form_seq=conf1008&elqsid=1424146207332

http://www.mathworks.com/videos/using-matlab-to-optimize-portfolios-with-financial-toolbox-81806.html?form_seq=conf966

Join my FREE newlsetter to learn portfolio optimization tricks in Matlab

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Is this the best optimization trading strategy Matlab tips you could get from a real quant? How about curve fitting?

Is this the best optimization trading strategy tips you could get from a real quant? How about curve fitting?

This came from a well known quant you probably know:

For a small number of variables, the functions in the optimization toolbox work quite well.
I have never used the curve toolbox. But if you have a large number of parameters to optimize, you should consider the Global optimization toolbox.
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Youtube video: overview of Matlab Optimization toolbox for trading model or strategy is this a waste of time?

Youtube video: overview of Matlab Optimization toolbox for trading model or strategy is this a waste of time?

Want to learn more? JHoin my FREE newsletter on this 

 

 

 

 

 

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

I am starting to look at this Matlab Optimization toolbox for trading. Am I wasting my time?

I am starting to look at this Matlab Optimization toolbox for trading. Am I wasting my time?

I will let you know as I get into it.

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Youtube video Quant book review of Robert Pardo of Evaluation and Optimization of your Trading Strategy

Youtube video Quant book review of Robert Pardo of Evaluation and Optimization of your Trading Strategy

Learn more with my FREE newsletter in how I will implement what I learn from this

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

What is your preferred profiling/optimization/debugging tool(s) for large distributed/shared and/or hybrid applications?

What is your preferred profiling/optimization/debugging tool(s) for large distributed/shared and/or hybrid applications?

==For debugging, we use the Dartboard Method. Place the source code on the board, toss a dart, start looking in the vicinity of the procedure with the dart stuck in it.
==I’m not sure I’d call it preferred yet, having tried some monitoring tools I’m finding I want to know what platform resources (disk, memory, cache, cpu) are being used alongside my app. I’m currently trailing Hyperic HQ – and instrumenting Java apps via jmx. It looks promising.
Hyperic gives reasonable monitoring capabilities for 10s of boxes, not sure about 100s or 1000s.
So basic approach: * Instrument, to identify problems * Monitor from one platform, to problems servers, services * Drop back to standard debug, profiling
Very interested to know others experiences of tooling.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Basic application of mean-variance porfolio optimization with matlab

Basic application of mean-variance porfolio optimization with matlab

quantturk.comBasic application of mean-variance portfolio optimizat…http://quantturk.com/basic-application-of-mean-variance-porfolio-optimization-with-matlab/

This is how we make use of such algos in our system : http://www.axel-thompson.com/PillSliderIndices.html

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

F# .NET NAG numerical library with Integration, Interpolation,Approximation, RNG, Time Series Analysis, and Optimization

NAG has just released their latest numerical library; the NAG Library for .NET. This is the first release of the library and includes over 400 methods for key mathematical and statistical areas, including Wavelet Transforms, Integration, Interpolation and Approximation, Random Number Generators, Time Series Analysis, and Optimization. The Optimization chapter contains methods for solving LP-, QP-, LS- and NLP-problems without constraints or with constraints. A global optimizer is also included, solving problems without constraints but with bounds on the variables.
The example in the link below illustrates how to solve a LS optimization problem using the NAG Library for .NET from F#. The problem is stated as follows: min 1/2 || b – Ax || ^ 2, where A is a (10 x 9)-matrix and b is a (10 x 1)-vector. The variables (x1,…,x9) are bounded and there are 3 general constraints.

http://www.nag.co.uk/doc/TechRep/pdf/tr6_10.pdf

For further questions regarding the usage of the .NET library we – the technical team at NAG (support@nag.co.uk) – would be happy to give anyone help using the .NET Lib for the first time or just chat…

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!