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Code/Math improvement for MAD optimization: LS Portfolio

Hi All

I am trying to use MAD optimization to create a LS portfolio. I am optimizing on 200 stocks. The optimization with exposure and beta constraint takes a very long time.

Can somebody suggest some code/math improvements to run it in a better way?

Thanks
Shiv

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
--
Max Drawdown
--
Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 56eb961adea6b30f345d871e
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