WLD5 and Multi-Model Portfolio Analysis
Author: Adrian
Creation Date: 8/22/2008 2:36 AM
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Adrian

#1
For many many years now, the number 1 or certainly in the top 3 user requests, has been to have the ability to run multiple models when doing $imulations. The developers said many many years ago that is was being worked on.

Now we await the arrival of WLD5, which by any measure is overdue no mater who's perspective you look at it from. So it would seem fairly obvious to assume then that the developers have been using the time efficiently (i.e about 3-4 years) and using what can only be assumed is vastly increased resourcing due to the backing of Fidelity, that the new version will include this multi-model testing ability. I am sure I can speak for 99% of medium/high end users ,to say how massively dissappointed we would all be to discover the program is released without this ability.

Perhaps the developers can shed some light on this, as I have seen little discussion about WLD5 release date of late, nor whether the massive delay was to make sure it was a complete and feature rich product. Certainly it would be a major let down and disaster for them to release a product that was missing some or all of the abilities of version 4. I dare say, they would probably be the only software developer in history to actually come out with a new version that had lessor capability than a prior version. Anyway, lets hope that isn't the case, athough WLP5 did exactly this, so its hard to have any confidence at all.

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Eugene

#2
WLD5 has been completely rewritten from scratch. First you learn how to walk, but it takes some learning curve to run Marathon race. In its first release, there will be no such familiar tools like Optimizer. Remaining (i.e. reengineered) functionality is going to see the light in a later release. Keep in mind that WLD5 doesn't block from using your old tried & true WLD4 workspace.
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Eugene

#3
A follow-up. WL5 has extensible architecture, and one good example of its usage is Dave Aronow's Walk Forward Optimization Library:

Walk Forward Optimization Library for WL 5.0
Aronow Software LLC Wealth-Lab 5 Walk Forward Optimization Library

I haven't done enough research on that but using an approach similar to the one in Dave's library one probably could implement a utility that does multiple model testing. Again, it's not verified.