[R-SIG-Finance] blotter update MM & weights without recalculation all
mane.desk at googlemail.com
Sat Feb 26 13:50:27 CET 2011
I just had a first glimpse at the blotter package and
found it quite amazing. The demos are great to understand
the basic principles but it would be great I some of the experts
could give me advice on how to approach the following.
1) use blotter to run one trading system on differed symbols
2) use P/L per trade to calculate optimal position size per symbol
3) rerun blotter with optimal position size.
4) use returns per symbol, to calculate weights for each symbol
(Markowitz on trading system equity curves)
5) rerun blotter using weights to calculate portfolio return.
The steps I'm not sure how to accomplish are:
3) do I need to run the whole trade creation process again, or can
I somehow update the trade records to the new position size rules
5) I don't know how to do that at all
any advice is very much appreciated!
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