kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | Steve, The current OV logic allows one to move between portfolios gracefully. The existing trades are managed to completion. New trades are generated from the newly selected portfolio(s). And it doesn't need to be a binary choice. Adding the ability to adjust the Alloc % of various selected portfolios based on a metric would provide a lot of flexibility. If the metric was dynamically calculated and applied during the simulation period one would easily be able to quantify the benefit of portfolio switching. (Although perhaps not based on a monthly period.) I think portfolio switching (actually rebalancing, which could include a complete switch between portfolios) is an excellent approach. It adapts to changing market conditions. Assuming Nirvana comes up with a bunch of portfolios that perform good-to-great in every market as a starting point... I agree - one won't do worse than the worst portfolio, and probably will do better than the worst by portfolio switching. Iterative Strategy Selection (hence ISS, not ITT) is a way to construct optimal portfolios given a specific set of account settings. ISS is not in contradiction to portfolio switching (which I'm getting tired of typing so I'll refer to as PPS for "programmatic portfolio switching"). PPS and ISS are highly complimentary. ISS gets one to portfolios that worked well during different markets. PSS allows for the automated (programmatic) switching (or rebalancing) between those portfolios. Both allow software to perform analysis that would take a mortal many man hours to complete. Both are instances where the computer can do it better than a human. Both rely on hindsight. Both are better than throwing darts. (Much better IMO.) I didn't mean to "devolve into an ITT debate". Sorry. Cheers Keith | |
