Managing Dynamic Portfolios by Kevin Morgan
ARTICLE SYNOPSIS ...Stocks & Commodities V. 25:5 (46-56): Managing Dynamic Portfolios by Kevin Morgan
Here's how to build an automated trading system that reselects its preferred trading symbols on a recurring basis.
Computerized trading system development and execution platforms are oriented around trading a single or fixed set of stock, index, or commodity symbols. Backtesting, walk-forward testing, and real-time incremental execution occur against this fixed symbol set. Changing the set is a manual process, and the backtesting and generation of integrated results for a sequence of different symbol portfolios...