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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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.

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Interview

Interviewing the Quants: An Inside Look With “Sanz Prophet” http://godelsmarket.blogspot.tw/2015/01/interviewing-quants-inside-look-with.html You can also see some of Ryan’s other interesting posts and tools:http://godelsmarket.blogspot.com/2012/12/simple-automated-trading-system.htmlhttp://godelsmarket.blogspot.com/p/ib-historical-data-downloadimporter.html