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Personalized Portfolio of Investments in Electronic Trading

Investing has increasingly moved from the exchange floor to complex algorithms and electronic trading platforms. Electronic trading represents more than half of the $5.3 trillion-a-day foreign-exchange market, according to a Euromoney Institutional Investor Plc survey1, as increasing competition, diminishing trade volumes and the need for low-cost execution has driven many financial firms to embrace electronic trading and reap the benefits of lower bid-ask spreads and efficient order.

Rebalancing Period: 6 Months

Credits:
1. https://www.quantopian.com/posts/diversified-portfolio-monthly-rebalance-for-live-trading
2. https://trader.motifinvesting.com/positions/sharpe-optimal--electronic-trad-U_568559#/overview

Clone Algorithm
26
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Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 57b5d6e101e7d81006f76ba9
There was a runtime error.
5 responses

Nice code but why would you want to bet on the future success of these companies? Isn't it said that the minimum number of companies you need in a portfolio for diversification is 20?

Nice to adapt or as on/off switch approach between bonds and equities though. Needs updating - contains a deprecated feature.

Thank you Anthony for the note. I agree to an extent that in order to achieve balanced portfolio, one must include more assets than there are in the above portfolio. In the regards, I aim to consider it as a sub portfolio of a larger portfolio which certainly would have assets more than 20. With that said, I also believe the optimal number of assets in an portfolio is an subjective matter that also depends on the targeted growth one is seeking for.

I will certainly explore more about the on/off switch approach and update my findings in the post. Also, thank you for pointing out about a deprecated, I will update the code.

Thanks. The code is super helpful. I have got very lazy about Q since I am working on other stuff. I'll post my switching algo tomorrow.

Agree about subjectivity. I guess I was seeing these stock picks as a fundamental choice rather than algorithmic. Nothing wrong with that! I just don't have a clue on the fundamentals.

A switching routine between equities and bonds cannibalising your code and others, Can be expected to under-perform in a bull equity market and outperform in a bear equity market. In view of current interest rate levels it might be better to stay at the short end of the maturity curve and use a 1 to 5 year bond ETF rather than 20.

Clone Algorithm
26
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 57b6a1ef9631f0100238454a
There was a runtime error.

Can you pls. tell me what is the rationale of picking those Symbols in particular?