This release is adding server-side data and HF portfolio optimization to PortfolioEffect:
You could still use your own market data or use our server-side high frequency history. Available server dataset covers last 3 years for 8,000+ symbols at 1 second resolution. Parametrized interval notation ("t-N", "t") is also available, which allows to dynamically select range of N latest trading days (e.g. ("t-3", "t") for latest 3 trading days).
Optimization module performs continuous portfolio optimization (i.e. computes optimal position weights at every price point). You could combine multiple optimization constraints together and use our multi-start algorithm to find global optimum at every price point.
Intraday Optimization Intro:
https://www.portfolioeffect.com/docs/pl … timization
Intraday Efficient Frontiers:
https://www.portfolioeffect.com/docs/pl … t-frontier
Several constraint method types have been added:
- scalar value constraints
- vector-based constraints (time-value format)
- user-defined functions