Dear Eugene and Cone

Hi. As you would know the inputs for Mean Variance Optimisation (MVO) are returns, standard deviation of returns (annualised) and correlations. I use MVO to weight securities and systems.

I can estimate the returns, and the correlations I can get from the Combination Correlation tab (though it is not working at the moment, per another post I just made). I REALLY would love to get the standard deviation of returns of a system please, and I expect many others would like it also.

For systems run on daily data, it is just the standard deviation of the daily returns of the system (after commission and slippage) annualised by multiplying by SQRT(251), as there are usually 251 trading days in a year.

For systems run on weekly data, it is just the standard deviation of the weekly returns of the system (after commission and slippage) annualised by multiplying by SQRT(50), as 251 trading days in a year equate to about 50 weeks.

And, you guessed it, for monthly systems, it is the standard deviation of monthly returns x SQRT(11.5).

Can this be added to Performance+ please, or even better (or additionally) to the Combination visualisers, so then one can see it on multiple systems simultaneously?

Thank you, and best regards

Rod

Hi Rod,

Thank you for your suggestion.

1) As you can see, this Combination Correlation tab is self-contained. Sorry but I see no room for standard deviations in this performance visualizer.

2) As to the Performance+ tab, we've already got Standard Deviation of Profits there (both dollar and percent). Isn't this what you're looking for?

Hi Eugene

Thanks. For MVO one needs standard deviation on an annualised basis, not per trade. For example, it would be the standard deviation of the monthly, daily etc returns, then annualised per my first post above.

Ah - perhaps they are on the 'By Period' tab. And, yes, they appear to be, at the top left. At the top left of the 'By Period' tab, it shows average return as a %, and I assume the standard deviation is also a percentage? If so, then I can just manually annualise it.

Thanks and best regards

Rod

QUOTE:
Ah - perhaps they are on the 'By Period' tab. And, yes, they appear to be, at the top left. At the top left of the 'By Period' tab, it shows average return as a %, and I assume the standard deviation is also a percentage?

That's right, the StdDev operates on the percentage return.