Concept

The process is quite simple:

  • You select a list of stocks that you think are worthy of an investment
  • The software loads historic stock prices from your selected data provider in the internet
  • The software now cleans the loaded data
  • It then displays these prices (in various forms)
  • You can then optimize a portfolio (with some or all ) of these candidate stocks
  • The software can be used to do a backtest:
    • It uses the historic data up to a defined point in time (eg a year ago)
    • And calculate the development of the proposed portfolio from that date

Note: Past performance does not guarantee future performance.

Multi Currency Support

  • We determine the currency of each stock during Search and store it.
  • We download the development of the exchange rates of the local currency (against the USD) if you have configured a local currency (in the configuration tab).
  • We also download the development of the exchange of stock specific currency (against the USD)
  • Missing values in the exchange rates are filled with linear interpolation.
  • We calculate an exchange from stock currency to local currency from this.
  • We use this factor for the actual conversion.

Data Cleaning

The (for capital measures and dividends) adjusted close prices frequently contain errors.

RSJ Portfolio tries to detect and correct these errors before optimization:

  • Data cleaning is done after currency conversion
  • Negative prices, 0, prices and infinite prices are marked as invalid
  • Missing and invalid values are filled with linear interpolation
  • A maximum of 10 values each at the beginning and end are replaced with the preceding or following value
  • All values that differ by more than the cofigured number of standard deviation from the average are marked as invalid.
  • A maximum of 10 values each at the beginning and end are replaced with the preceding or following value

Allocation

The optimization process determines an optimized value weight for each stock (independent from piece count).

Stocks are normally traded in pieces (where a piece price can be anywhere between few cents and thousands of dollars).

We therefore compute an allocation (and use the limits you configured). We repeat this allocation with relaxed limits until the allocation until only a small part of the capital could not be allocated.