Saturday, March 31, 2012

What is 'particle swarm optimize sharpe'?

A little known feature of EzBacktest is available from the Edit menu and is called 'particle swarm optimize sharpe'.

This feature allows utilization of the famous AI algorithm called 'Particle Swarm Optimize' to run through several different computer generated portfolio allocations for a given set of equities seeking the best Sharpe available.

To run this, create a new or edit your existing portfolio and from the Edit menu, select 'particle swarm optimize sharpe'. Hit cancel at any time or wait for a while to seek an even better optimized returns. You can track the progress and best result yet at the status bar.

A quick shortcut, is to click F6. Speaking of shortcuts, F5 will run a back-test, and F8 will distribute the allocation equally (losing your optimization of course).

This tool, along with your own knowledge, experience and intuition will allow you to further examine your investment options!


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