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From: Ot on 9 Dec 2009 21:35
Hi,

Does anyone use SAS as a trading strategy backtesting platform ? I am
looking for some kind of SAS sample logic to develop strategy and
generate strategy performance report.
I noticed that there are many sample backtesting examples logic for
Matlab, but I haven't found any in SAS...

Thanks,

Ot
From: montura on 10 Dec 2009 07:09
Sounds interesting.
If you need a side-kick for that I would be interested.
From: dc353 on 10 Dec 2009 15:47
On Dec 10, 7:09 am, montura <montura...(a)gmail.com> wrote:
> Sounds interesting.
> If you need a side-kick for that I would be interested.

Ot,

Here's what we're building:

using a risk model, backtest results of alpha strategy. Components:

1) method / procedures to calculate alphas.
2) method / procedure to estimate trading costs
3) ability to generate optimize portfolios through time - use barra
risk model
4) calculate before and after tax return of strategy
5) performance attribution

From: Ot on 11 Dec 2009 13:20
On Dec 10, 12:47 pm, "dc...(a)hotmail.com" <dc...(a)hotmail.com> wrote:
> On Dec 10, 7:09 am, montura <montura...(a)gmail.com> wrote:
>
> > Sounds interesting.
> > If you need a side-kick for that I would be interested.
>
> Ot,
>
> Here's what we're building:
>
> using a risk model, backtest results of alpha strategy.  Components:
>
> 1) method / procedures to calculate alphas.
> 2) method / procedure to estimate trading costs
> 3) ability to generate optimize portfolios through time - use barra
> risk model
> 4) calculate before and after tax return of strategy
> 5) performance attribution

Thank you so much for your reply.
What my uses of SAS is to create some performance summary or order
management backtesting tool for algorithmic trading strategy.
ie. profit factor, sharpe ratio, winning trade, losing trade etc in
relation to change in stop loss amount, trailing stop amount, reverse
position, profit target.. etc
Just like performance summary report in tradestation software.

Does your 5) performance attribution give you some like what I listed
above ?

Thanks,
Ot

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