Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | Ed just posted the ‘Alpha’ version of the Portfolio Balancer & I’d like to go ahead and share a few observations & results of runs since I’ll be out of town the next few days. First – please read the Release Notes! As Ed said, there are a number of limitations on this version that will be resolved as soon as possible, but I’ve been working with it for a while and can attest to its capabilities. Note that at this point its just a ‘switching’ mechanism and doesn't have any Allocation % capabilities. In time, that should come – but even as a ‘switcher’ it’s pretty impressive. Like the Portfolio Wizard, the better the Portfolios that you ‘feed’ to it, the better your results will be. I’ll start by showing results with the same ‘baseline’ Portfolio Steve & I have used so often, Ed’s excellent ARM4 Margin – concentrating on 3 statistics: MDD 27.5% / CALMAR 2.2 / Avg % Invested 118% / Ending Equity $3.9M. In both of the following Portfolio Balancer runs, I’ve given it 3 of my Custom Portfolios and had Portfolio Balancer choose 1 each month walking forward from 1/1/07 to the present using the Evaluation Function of LNREG_SLOPE(5). The first example is a run that gave an ending equity similar to the ARM4 $3.9M. Portfolio Balancer Results: MDD 13.3% / CALMAR 4.6 / Avg % Invested 61% / Ending Equity $3.9M. The second example is a run with 3 different Custom Portfolios that gave a % Invested similar to the ARM4 118%. Portfolio Balancer Results: MDD 17.3% / CALMAR 6.1 / Avg % Invested 113% / Ending Equity $26M. (Also nice to see the increase from $15.8M to $26M in 2014: +63%) I’ve included the statistics of the 3 Custom Portfolios I used at the bottom to show that the Ending Equity using the PB is better than each of the 3 Portfolios fed to it. While these Portfolios and results might not be what you’ll get ‘right off the bat’ (Steve & I have been refining things for a long time) please don’t get discouraged. These are possible with what’s currently available. Steve & I don’t have anything ‘better’ than the released versions… Used in concert, I feel all these new tools will definitely improve the results for everyone. I’ll be out of town for a few days, but look forward to sharing some more info and specifics when I get back... Best of luck, Mark [Edited by Mark Holstius on 9/9/2014 11:04 AM]  Attached file : ARM4 Results.jpg (326KB - 685 downloads) Attached file : Equity Results.jpg (217KB - 682 downloads) Attached file : Percent Results.jpg (346KB - 665 downloads) |
