Intraday Portfolio Analytics

Services for intraday backtesting,
risk management and optimization at every price tick

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40+

Metrics

Portfolio Metrics

Compute portfolio risk and performance metrics based on modern/post-modern portfolio theory: VaR, ETL, alpha, beta, Sharpe ratio, Omega ratio, etc.

10+

Goals

Portfolio Optimization

Perform intraday portfolio optimization with arbitrary number of optimization constraints using our global multi-start optimization algorithm.

1+

Tick

Update Frequency

Get metric updates for every market price move for high-resolution charting, detailed market impact analysis, flash crush monitoring and other applications.

  • Client-provided datasets
  • 40+ portfolio metrics
  • High Frequency model pipeline
  • Intraday portfolio optimization

PortfolioEffect Service

Portfolio management, backtesting and optimization service for R, Matlab, Java & Python that employes High Frequency microstructure model pipeline, cloud computing to enable classic portfolio analysis at intraday horizons for user-provided data.
Tutorials Manuals

Tutorials