I am looking to run a strategy where i want first to choose the best 5 fives ETF among 10 based on their performance over the last 180 days, and then apply an allocation between the 5 etfs chosen based on a min variance portfolio over the last 22 days. Using QT, I am able to choose the 5 best etfs based on their perfomance but i don’t know once i have that result how to make a min variance optimization on the selected sub basket. Is it possible ?
This is not possible at the moment, as it would need a second analysis run which is not easy to implement. We only rank performance and volatility at the same time by using the modified Sharpe. I also don’t think that this would be a good approach, as for this top 5 stocks volatility would be in fact mostly a positive (rising prices) volatility. Regards Frank