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Jim Dean

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Joined: 10/11/2012
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Subject : RE: Ideas for Portfolio Wiz/Bal Iterative Process
Posted : 4/10/2014 11:02 PM
Post #29737 - In reply to #29736

Steve (L) - I agree 100%

Weekly slices are certainly best - the architecture needs to provide for that degree of resolution. And if OVest takes on intraday trading in earnest, DAILY slices might well be needed.

My point is that a small and efficient non iterative preliminary analysis might add some extra "intelligence" as to WHERE to draw the weekly or daily boundaries. Those boundaries might be very compressed during some years with dozens of changes within that year.

But for other years, the contrition of the market - it's personality - might remain in the same "domain" for months on end - so there would be no need to iterate through each week or day during that time.

OVest should be smart enough to provide for both - the fine granularity and the more extended states.

I hope this process has not already gone so far that it's cast in concrete. I may well be wrong about this being beneficial to the degree that I guesstimated - but I can't see that it would be harmful - and adding a little bit of extra code to test it out would be warranted, since if the thesis is proved, both Nirvana and all it's customers would benefit by the efficiency enhancements.

[Edited by Jim Dean on 4/10/2014 11:05 PM]

Deleting message 29737 : RE: Ideas for Portfolio Wiz/Bal Iterative Process


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