|Date: ||Fri, 11 Dec 2009 10:20:36 -0800|
|Reply-To: ||Ot <octrout@GMAIL.COM>|
|Sender: ||"SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>|
|From: ||Ot <octrout@GMAIL.COM>|
|Subject: ||Re: trading strategy backtesting platform|
|Content-Type: ||text/plain; charset=ISO-8859-1|
On Dec 10, 12:47 pm, "dc...@hotmail.com" <dc...@hotmail.com> wrote:
> On Dec 10, 7:09 am, montura <montura...@gmail.com> wrote:
> > Sounds interesting.
> > If you need a side-kick for that I would be interested.
> Here's what we're building:
> using a risk model, backtest results of alpha strategy. Components:
> 1) method / procedures to calculate alphas.
> 2) method / procedure to estimate trading costs
> 3) ability to generate optimize portfolios through time - use barra
> risk model
> 4) calculate before and after tax return of strategy
> 5) performance attribution
Thank you so much for your reply.
What my uses of SAS is to create some performance summary or order
management backtesting tool for algorithmic trading strategy.
ie. profit factor, sharpe ratio, winning trade, losing trade etc in
relation to change in stop loss amount, trailing stop amount, reverse
position, profit target.. etc
Just like performance summary report in tradestation software.
Does your 5) performance attribution give you some like what I listed