Zorro Beta 1.43

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Re: Zorro Beta 1.43 [Re: boatman] #458868 04/04/16 08:33 04/04/16 08:33
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	I admit that I don't have 1.43.2 anymore. I've uploaded 1.43.3 last week, and today I just got 1.43.4 from the developers. But they are not very different to 1.43.2. Can you describe when exactly the crash happens? After or before the initial message in the window? And can you check if it still happens when you delete all .dll files out of the Plugin folder?

Re: Zorro Beta 1.43 [Re: jcl] #459057 04/18/16 08:33 04/18/16 08:33
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl OP Chief Engineer
jcl OP Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	Beta 1.43.5 was uploaded. This version supports portfolio balancing with the efficient frontier algorithm by Markowitz. Here's a recent paper about how Markowitz balancing can improve a portfolio: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2606884 This version also contains a set of functions for normalizing predictors for machine learning.

Re: Zorro Beta 1.43 [Re: jcl] #459060 04/18/16 23:50 04/18/16 23:50
Joined: Apr 2014 Posts: 482 Sydney, Australia B boatman Senior Member
boatman Senior Member B Joined: Apr 2014 Posts: 482 Sydney, Australia	Wow, that is a fantastic feature to include! I was actually just working on implementing this myself! Thanks jcl and team, looking forward to taking this for a test drive. www.robotwealth.com

Re: Zorro Beta 1.43 [Re: boatman] #459071 04/19/16 21:46 04/19/16 21:46
Joined: Dec 2013 Posts: 568 Fuerth, DE Sphin User
Sphin User Joined: Dec 2013 Posts: 568 Fuerth, DE	Quote: Markowitz weights can be used alternatively to OptimalF factors for allocating capital. I cannot find wherefrom to get the Weights, or is the Weights Array available after calling the markowitzReturn function with Weights = 0? What did I miss? The manual says Weights is an input parameter for markowitzReturn and is also modified by this function, and in the example code there are no Weights at all. Last edited by Sphin; 04/19/16 21:49.

Re: Zorro Beta 1.43 [Re: Sphin] #459075
04/20/16 06:42 04/20/16 06:42

Joined: Jul 2000
Posts: 27,986
Frankfurt

jcl

Chief Engineer

jcl

Chief Engineer

Joined: Jul 2000
Posts: 27,986
Frankfurt

Here's a code snippet that calculates asset positions from the weights:

Code:

var Weights[30];
var SharpeVariance = markowitz(Covariances,Means,N);
markowitzReturn(Weights,SharpeVariance);

// change the portfolio composition according to new weights
for(i=0; i<N; i++){
	asset(Names[i]);
	int NewLots = TotalCapital*Weights[i]/MarginCost;
	if(NewLots > OldLots[i])
		enterLong(NewLots-OldLots[i]);
	else if(NewLots < OldLots[i])
		exitLong(0,0,OldLots[i]-NewLots);
	OldLots[i] = NewLots;
}

Re: Zorro Beta 1.43 [Re: jcl] #459081 04/20/16 14:27 04/20/16 14:27
Joined: Dec 2013 Posts: 568 Fuerth, DE Sphin User
Sphin User Joined: Dec 2013 Posts: 568 Fuerth, DE	Thanks!

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