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I think this is a duplicate request, but I can't find the original.

1. I would like to be able to vary position size based on a rule/rules. For ETF systems, I'd like to be able to test risk parity systems. So...the size of the allocation would be based on trailing X period volatility of the underlying.

I have been doing this in excel.

My initial request here is for ETF and CEF systems. This will allow systems like this:
http://etfprophet.com/permanent-portfolio-trend/

To be backtested and run live.

Best,
Tom
Results: Total score: 41 , # of Votes: 11 , Average: 3.7
a
 
32 (8)
b
 
9 (3)
c
d
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: Tomyani
On date: 12/03/13
Category: Simulation

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