Very nice work, thx for sharing your progress, can't wait to see the pt.3 ! I don't understand how you calculate the allocation, especially how you go from "UNCAPPED ALLOCATION PERCENT" to "ALLOCATION 10% CAP". You say it's min(Uncapped Allocation Percent, 10%), but clearly all the number from Uncapped Allocation Percent change, even when there are already <10%. So what i'm missing in the transformation between the two columns ?
Ah I May not have been clear. I normalized everything to 100% I believe. Then I capped at 10%. So then it didn’t add up to 100 after the capping. So then I iterated until I scaled everything back to sum to 100%, capping at 10% along the way. It’s iterative and I didn’t do it all in one column, I had other columns not shown where I did this. I was just showing the final results in one column.
Very nice work, thx for sharing your progress, can't wait to see the pt.3 ! I don't understand how you calculate the allocation, especially how you go from "UNCAPPED ALLOCATION PERCENT" to "ALLOCATION 10% CAP". You say it's min(Uncapped Allocation Percent, 10%), but clearly all the number from Uncapped Allocation Percent change, even when there are already <10%. So what i'm missing in the transformation between the two columns ?
Ah I May not have been clear. I normalized everything to 100% I believe. Then I capped at 10%. So then it didn’t add up to 100 after the capping. So then I iterated until I scaled everything back to sum to 100%, capping at 10% along the way. It’s iterative and I didn’t do it all in one column, I had other columns not shown where I did this. I was just showing the final results in one column.
Ok thx you for your response, make sense !
No problem !
Thank you! Glad you enjoyed it.
There is a type of asset, very uncorrelated, that you have not used, trend following (KMLM, DBMF…)
Good idea. That would definitely be a good one to add
Nice one TQ : )
Thank you sir!