Mark Holstius![]() Elite ![]() ![]() ![]() ![]() Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL ![]() | Good thread… portfolio switching works. Steve Mayo & I have been working intensively on ways to improve the already good results with OV over the past year – well north of 1,000 hours devoted to development and testing of different theories. We’ve learned a lot - about OV and from each other - and found the best results in the area of weighting some “proprietary” parameters and then using those weights to choose which portfolio to use for the following month (switching). The bad news is that my archive of Excel spreadsheets that didn’t work contains over 6,000 “development” (i.e. didn’t work) spreadsheets (70GB), and my current portfolio list in OV has more than 300 portfolios (250 already deleted). In addition, the macros in the spreadsheets that are currently producing results can take many hours to run. I guess what I’m saying is that this level of testing isn’t for the faint of heart, but I FULLY agree with Ed’s plan to have the Professional version of OV for those that enjoy the development aspect. I’m convinced the returns are worth the effort, and hope that Elite trader will provide a way for many of us in this forum to share (and profit from) each others work. I’ll post a chart below to support Ed’s commitment to providing more tools – OV has capabilities we’re only beginning to appreciate, and the new tools coming can only improve the results. These are the results of running weighting algorithms at the end of each month to select a portfolio to trade the next month from 1/1/2007 to 1/1/2014. Ed’s excellent ARM4 Margin portfolio has been our “benchmark to beat”, so that’s included along with the QQQ @ 2X margin. In this example, our algorithm switched between two optimized portfolios on 36 of the 85 months (42% of the time), simply “carrying over” the preceding month’s portfolio for 49 of the months (58% of the time, no portfolio switch). In this example, it was accurate 65% of the time in picking the best portfolio to trade for the forthcoming month, improving CAGR by 195% and the Return:Risk Ratio (7yr CAGR/7-yr monthly SD, sort of a modified Sharpe Ratio) by 26% from 7.0 to 8.8. Steve & I have debated about posting results like this without wanting to divulge the specifics, but we feel it’s appropriate now as a small indication of what’s currently possible - and to support Ed and the staff in their complex and difficult move to another, even better level with the new tools coming on line. BTW – Jim’s post above has pretty much touched on all the correct aspects we’ve found to be useful (right once again, Jim). Mark [Edited by Mark Holstius on 3/18/2014 1:01 PM] ![]() |