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kmcintyre

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Subject : RE: Portfolio Switching
Posted : 3/20/2014 12:28 PM
Post #29551 - In reply to #29550

Also, moreover, what Steve is saying (afaik) is -

if end of month
{
__run each portfolio at 100% alloc, as the solely enabled portfolio, based on the account settings but with a date range that covers the previous month.
__find the portfolio with the best return over the past month
__enable the best portfolio
__disable all other portfolios
}

This seems like more than a OScript condition applied to each portfolio.

An alternative might be -
__run each portfolio with no regard to account settings, taking every trade as sized by the strategy and strategy Alloc %, with a date range that covers the previous month.

The latter might ameliorate some of the concerns Steve has voiced about Apple and Amazon hogging trades and skewing performance stats.

(Revisit having the engineers figure out what works best and provide an elegant solution...)

Cheers

Keith


Deleting message 29551 : RE: Portfolio Switching


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