mpo_optimize | Today’s optimal trades: solves the single- or multi-period optimisation at the decision date (default the last date) from your current holdings, seeing only earlier data, exactly as mpo_backtest decides each day. | |
mpo_rule_trades | The trades a rule-based policy (equal weight, market portfolio, fixed weights, periodic, proportional or drift-triggered rebalancing, rank long-short, fixed trades, hold, sell all) makes at the decision date (default the last date) from your current holdings. | |
mpo_evaluate_trade | Evaluates a proposed trade at the decision date before placing it: every objective term an optimisation policy would weigh (forecast return, cash return, risk with ex-ante annualized volatility, transaction and holding costs in value, forecast-error penalties) for the current and the post-trade portfolio, the weighted objective, and whether each constraint holds (with its largest violation). | |
