Trade Advisor and Post-Optimization

The Trade Advisor offers guidance as to what trades most efficiently bring your held portfolio closer to a targeted portfolio. Additionally, it allows the application of investabilty constraints similarly to the postoptimize algorithm, i.e., results subject to threshold and interval constraints, as well as any other investability constraints, including asset anchoring but not including any turnover constraint, as turnover forms the horizontal axis of the trade advice frontier.  In other words, the results sought by establishing a turnover constraint are the same as exacting the trade advice for that particular turnover setting. The threshold and interval constraints can be applied relative to the held portfolio (trades will obey interval and threshold constraints), or in an absolute sense (trade advised portfolios will adhere to these constraints). 

To switch to Trade Advisor with the investability constraints, select the Enable Investability Constraints Option within the Trade Menu.  To choose whether the investability constraints will be applied relative to the held portfolio or to zero, pick Absolute or Relative to Held from the Select Investability Constraint Type sub-menu.

Since the computation for postoptimized Trade Advisor is considerably slower than for the non-postoptimized version, computation does not take place until the Calculate Button within the Trade Menu is clicked. A progress bar indicates the progress of the computation.

All of the settings that normally apply to postoptimize apply to postoptimized Trade Advisor as well, as do the preferences for time limit on each portfolio in the Trade Advisor frontier.