I strongly suggest not to use historic mean, in average is a poor estimator. You may want to check robust optimization. Also, keep in mind that you should always check how your strategy is performing against 1/n portofolio without transaction costs.
best,
jaime
Hi All. This is my first post :-)
We have built some strategies in Matlab and we would like to DMA chilean exchange. We know they are using FIX 4.4 protocol.
We have a lot of experience using Interactive Brokers' ActiveX, but out c++ and java knowledge is pretty basic. How should we start...
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