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Pyrite | Level 9
Say here are 10 Winner and 10 Loser Portfolio(with 20 daily performances, see the data below). 
How to find the optimal WIN-LOSE portfolio pair with the maximum RET/stdev [ret=ret_win-ret_lose]?!
Anyway to find the optimal with ret (historical ret as expected ret) and correlation matrix,
rather than go through emulation?! data _port_win_expt_ret; do i=1 to 10; do tradingday=1 to 20; ret=100+2*ranuni(i); output; end; end; run;quit; data _port_lose_expt_ret; do i=1 to 10; do tradingday=1 to 20; ret=100-1.5*ranuni(i); output; end; end; run;quit; proc sort data=_port_win_expt_ret;by tradingday i; run;quit; proc transpose data=_port_win_expt_ret out=_port_win_expt_ret_t(drop=_NAME_) prefix=ret_W_; by tradingday; var ret; id i; run;quit; proc sort data=_port_lose_expt_ret;by tradingday i; run;quit; proc transpose data=_port_lose_expt_ret out=_port_lose_expt_ret_t(drop=_NAME_) prefix=ret_L_; by tradingday; var ret; id i; run;quit; proc sql; create table _port_WL_ as select a.*, b.* from _port_win_expt_ret_t as a left join _port_lose_expt_ret_t as b on a.tradingday=b.tradingday order by a.tradingday; quit; proc corr data= _port_WL_ out= _port_WL_corr; run;quit;



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