Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | Hi Steve (M) - thanks for your thoughtful response. You said "But that presumes that each of the 50 portfolios reacts to the market mode in a similar fashion." I must have explained my idea poorly - that presumption is not in line with or relevant to my thesis nor to the enhancement I proposed. I actually discussed this with you and Mark a long time ago when you were first developing this architecture. But the exigencies of excel implementation precluded its use (as well as other factors). I have tried to describe this as two separate processes - one being a very simple and non iterative prelim analysis of some algorithm (I suggest two general kinds but no reason it would have to be either), which would determine the necessary and appropriate columns that in turn would be used by the multi-layered iterative search and optimization analysis process. Of course we expect that each portfolio will have different characteristics - that is still very much a part of the iterative process. My earlier description was not intended to deny nor supplant nor attenuate those distinctions. I'm sorry for creating confusion. Ed specifically asked me not to get too detailed - and since I don't have a copy of the project spec, it's hard to pinpoint how and where the minor alterations might be made in it. I believe that this would not change the flow of what you've planned at all - it would just make the process more efficient. Oft-times we can get so engaged in the details of finding solutions that we lose sight of the driving forces and belief systems and fundamental processes that are the "background" in which the "experiment" resides. I've had to fight that tendency my entire adult life - I think all creative people need to be careful about it. Thus the Aristotle quotation in my signature-line. What I was trying to do was to SBAS (Step Back And Squint) and think about what the engine was trying to accomplish - and impose upon that the underlying belief that trading is only successful if one is aware of how the market changes over time, as a whole, and to remain adequately flexible and adaptable to respond to those changes in a fluid and timely fashion. You probably recall my proposal for a matrix of nine market states: three trend modes in conjunction with three volatility modes. In our (you and Mark and I) early discussions that seemed to be one of the goals - to be responsive to those changes when and as they occurred. It seemed serendipitous to me that such a focus, using natural market mode changes to establish timing, could also reduce the number of iterations needed. It's my hope that this idea, which was proposed very early on in the infancy of OmniVest, and elucidated in detail before OVest was even on the drawing boards, will be given much more careful consideration. But, even without it, I'm incredibly impressed by the work y'all have done - and I'm confident that the solutions which the PortWiz/Bal engine will produce will be excellent ones! [Edited by Jim Dean on 4/10/2014 11:08 PM] | |
