The **Optimal Portfolio** in ** QuanTek**
is computed using a modified

The **Optimal Portfolio** must be computed each time
the ** QuanTek** program starts. This is
because it changes each time new data are downloaded. After
downloading new data, it is important to make sure the

The **Portfolio Report** is an **RTF**
file that you can display at any time (after computing the **
Optimal Portfolio**). It shows the securities in the current
**Portfolio** folder along with the past returns on
several time scales, the future **expected return** on
the chosen trading **Time Scale**, and the **
standard deviation (volatility)**. Next it displays the
**model portfolio** which consists of the number of
shares long or short of each security "owned", the market value of
the shares, the actual price, and the basis price. Next some
portfolio information is displayed such as the account equity and
the total long and short market value. Finally the **optimal
portfolio** is displayed with the number of shares of each
security and percentage of equity, to compare with the corresponding
numbers in the **model portfolio**. It also displays
the **Sharpe Ratio** for each security, which is a
measure of the ratio of **expected return** to **
risk**. Finally the results of the **Optimal Portfolio**
calculation for the overall portfolio as a whole are displayed,
consisting of the **Expected Return** and **
Standard Deviation** for the whole portfolio, along with the
**Margin Leverage**. All this information is extremely
useful for making trading decisions. The **RTF** file
can be saved to disk and consulted later.

For some examples of the **Portfolio Report**, see
the **Model Portfolio**
page on this website.

The **Optimal Portfolio** information is summarized
in a handy dialog box called the **Short-Term Trades**
dialog. This dialog is available from the **MainFrame**
toolbar, or anywhere in the program just by clicking the **Alt**
key:

This dialog shows all the most pertinent information for **
short-term trading** decisions. Each security in the **
portfolio** folder is displayed (except **indexes**).
They are all included in the** Optimal Portfolio**
calculation** **unless the "Trade this stock?" check
box in the **Portfolio and Asset Data** dialog is
unchecked. The columns show the **Current (Model) Portfolio**
shares and percent of equity, the **Optimal Portfolio**
shares and equity, the **N-day expected return** from
the **Price Projection**, and also the **Sharpe
Ratio**. This latter is the ratio of the **(2048-day)
expected return** to the **(2048-day) average standard
deviation** of the securities. This is a very important
measure of the ratio of **return/risk** for each
security, and a good criterion for the "quality" of the security as
a **long-term investment**.

On the right is an interesting list box showing a list of **
Prices** and their corresponding **Deviation**.
What this means takes a little explanation. Clicking on a security
line on the left displays a list of prices of the security on the
right. Below the list box are the **Open, High, Low, Close**
prices for the latest past day. The **average price**
is the average of these four prices. Then the **Standard LP**
filter is used to estimate an **expected average price**
for the next day, and this is displayed in the center (highlighted)
of the list box. Then, using the **average absolute deviation**
over the past **returns**, a list of **prices**
and their **deviation** from the **expected
average price** is displayed in the list box. Clicking on any
line in this list box brings it to the center of the box. You can
then use this list box to set **day limit orders**
based on the **expected average price** and **
expected deviation (range)** of the prices. So, for example,
the **estimated range** of tomorrow's prices correspond
to the **+100%** and **-100%** prices in
the list box. So, if you are a **day trader**, you may
find this feature useful.

*Go back to ***QuanTek Features**