kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | Excellent work and presentation, Mark and Steve! Thanks! Personally, I don't mind having to check the performance of N portfolios at month end and then changing the portfolio I'm trading in my live account. Automating the switch would be nice, though... What gets me is the work you had to go through to get your data. And because it is sooo painful to do such research it really thwarts further investigation, such as - 1) What works best? bi-weekly, monthly, quarterly, semi-annual switching? 2) Would a market criteria better determine switching vs. time constants? 3) Would rebalancing (vs binary switching) produce smoother equity curves? 4) How would solving for minimum time between new equity highs work out? 5) How about switching between portfolios specifically tuned for differing market conditions fair? 6) Does switching hold up with any set of portfolios, or are these findings one-offs? Etc. Tools to include simulating portfolio switching based on various criteria would really help. But having hundreds of OV clients running similar simulations (trying to find the answers to the same questions) puts a hardship not only on the clients, but also on the OV systems. Why not have the engineers figure out what works? Why not put a bow on the best 6 - 12 "configurations" and make it easy for users to deploy? And why not engineer evolution into the core of OV so the engineers don't have to constantly tune the configurations? These ideas have been floating around Nirvana for years. ARM, DSS, strategy voting, etc. They just seem to get bogged down somewhere between the white board and profitable deployment. I think Nirvana should offer cash rewards for proven ideas, then integrate them into the core. Kudos on your hard work and initial findings. I hope Nirvana sees the value and devotes some quality engineering to 1) proving the concept and then 2) implementing an elegant solution. Cheers Keith | |
