OmniVest Forum OmniVest Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


[Random Quote] -


Only Forum Moderators, Administrators, and the owner of this message may delete it.

 
Mark Holstius

Elite
50010010025
Posts: 744

Joined: 10/11/2012
Location: Sleepy Hollow, IL

User Profile
 
Subject : RE: Portfolio Switching
Posted : 3/30/2014 10:29 AM
Post #29631 - In reply to #29626

Thanks Steve(2)...

The returns in these charts are simply from closing down trades and starting new with the next month's portfolio. Since a switch only occurs around 45-50% of the time, the current portfolio often doesn't need to be closed - and the math is simpler. We have a SS that will accurately calculate the results allowing trades to stay open from the previous month and then be closed at their normal time via OV while adjusting the new trades according to the 200% limit. It's quite helpful, but doing that is tedious (downloading 185 months of trades). What I've found when I've done it is that the returns are often better than these because of the value of letting the trades close.

I haven't noticed any appreciable difference in TPM or average % Invested.

At this point, our process looks at previous characteristics of the 2 portfolios and then chooses one or the other to trade the next month (no peeking ahead...).

From 1/1/07 to 1/1/14 (the posted charts) the portfolio chosen for the following month has proven to be the best choice of the two 70% of the time.

Keith:

You're right about the process being easier if automated. Some of our macros run 8 to 10 hours in excel. (Steve's an amazing SS design and statistics guru - I'm just the macro designer and "grunt work" guy)

My hope is that Nirvana may be providing some new tools in the near future that will help Steve & I - and everyone here - test our theories in a much more efficient manner. I'm not planning on any major new "research" until I see what those tools are.

Mark
Deleting message 29631 : RE: Portfolio Switching


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.