October 22, 2016
This article shows what I consider the core of a trading strategy. Looks at the trading problem from a different angle than most. Starting from the end results metrics, then going back to design strategies that will affect these metrics over the entire trading interval. As if designing a strategy backward, but most certainly constructively, allowing for a multi-asset, multi-period view of the stock portfolio management problem.
It also says that any trading strategy can be viewed with either 2 or 3 variables. And that they are sufficient to explain the output, the performance results of any strategy. And if such is the case, then that is all that is important. It is then our task to make these 2 or 3 variables do what we want them to do.
HTML file: Portfolio Core Position
Related articles part of this series, as they were written: