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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>
Organization:   http://groups.google.com
Subject:   Re: trading strategy backtesting platform
Comments:   To: sas-l@uga.edu
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. > > Ot, > > 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 above ?

Thanks, Ot


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