Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | While there are a few things that need to be cleaned up in Beta Release 1, I found the Portfolio Wizard to be quite usable. My first experiment was to take one of my V2 static portfolios and create a corresponding dynamic portfolio that provides better performance using the same strategies. The static portfolio I chose had 23 strategies (20 RTM and 3 Trending). I loaded the strategies into Portfolio Wizard and did an initial analyzer run using one month periods, selecting 10 of the 23 strategies each period with all 21 EF's enabled. The simulation date range was 6.5 years. This took 3-4 hours to run (wasn't at the computer when it finished so don't know exactly how long it took). The CAR EF produced the best stats so I then did a series of analyzer runs using that EF and varying the number of strategies selected between 10 and 17 and varying the dynamic portfolio allocation within my test account. Each of these Analyzer runs took about 11 minutes. The best results were obtained when selecting the best 15 strategies each period with a portfolio allocation of 200%. The dynamic portfolio improved CAR from 94.5% to 118.5% over the static portfolio. MDD was reduced from 37.6% to 34.2%. % Invested decreased from 167.4% to 155.5% and TPM was reduced from 106.9 to 68.5. So, I've convinced myself that using equity curve analysis to dynamically select strategies will definitely improve simulated results which should translate into improved real results. Thanks Nirvana for another great tool! Steve [Edited by Steve2 on 8/3/2014 3:35 PM] | |
