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Quant Experiments in DIY Investing

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QUANTtrader -The Logical-Invest investment software for building and backtesting rules-based strategies

Quanttrader Logical Invest's swiss army knife

Investment software to easily create and backtest a rules-based investment strategy

QUANTtrader is a swiss-made software tool used to develop, backtest and implement rules-based strategies. It was initially developed by Frank Grossmann as his personal investment software. After having sold two companies, Frank trades for a living and his software reflects this. QuantTrader is available from Logical-Invest.com for a monthly license.

Quanttrader Logical Invest investment Software demo

Since it is built by a trader and long-time  investor rather than by a  developer. QuantTrader's main strength is in building medium to long term investment portfolios that are diverse, adaptive and can control risk. All this without writing a single line of code.

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bond

Day of month effect on rebalancing a portfolio

In this post we will:

  1. Take a look at a simple, momentum based, monthly rebalanced Equity/Bond portfolio consisting of two ETFs: SPY and TLT.
  2. Search for what has been the optimal dates in the month to rebalance such a portfolio.

Each month we allocate to SPY and TLT.

If SPY has outperformed  TLT we rebalance to 60% SPY - 40% TLT.

If TLT has outperformed  SPY we rebalance to 20% SPY - 80% TLT.

For the first run we will re-balance on the first of the month and close at the last day of the month.

Rebalancing portfolio 1st day

Now will try different combinations of entry and exit days.

SanzProphet

Interview

Interviewing the Quants: An Inside Look With “Sanz Prophet” http://godelsmarket.blogspot.tw/2015/01/interviewing-quants-inside-look-with.html You can…

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SanzP joins Logical-Invest

I joined the team at Logical-Invest.

Together with Frank, Alex and Scott (our info) we hope to create a place where we can develop strategies and actually offer them to the public for a low subscription.

This is something new. At least I think so.

If you have followed my blog you may have guessed that I support empowering the private investor to take investing into their own hands and use tools as good or better than the 'big guys' use. But I also understand that not everyone can become a full-time trader, learn programming or research the market for hours on end. Luckily there are quite a few management firms that are intelligent, publish their research, have good track records and are fairly priced.

We are taking a different route.

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