kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | I had this idea that I might be able reduce the performance randomness by running multiple parallel dynamic portfolios. To that end I assemble 16 DPs. I used 4 EFs which exhibited the lowest Coefficient of Variation from my 7.75 year runs. I selected 4 different rebalance dates. (3, 11, 17,and 23 cuz they were nice prime numbers...) I built an account with the 16 DPs enabled, which resulted in 564 strategies being used over the 7.75 year simulation range. I then tested the account over the same 28 starting dates used in my previous experiments. The result was a much more predictable account that didn't care very much what day in January, 2007 I pulled the lever. The CV was reduced to 0.0551, I'm attaching a spreadsheet for anyone who cares. But before everyone gets all excited and starts building accounts of parallel dynamic portfolios (which will probably drive OV into the ground)... I then tried the same kind of experiment using the 17 strategies native to ARM4 Margin. I saw even more consistency using just those 17 strategies. CV was down to 0.0288. The return, as measured by EE, was less, but the % invested was also much lower. And this solution only required 144 strategies to be used over the 7.75 year simulation. I'm including a spreadsheet with those results as well. But before you run off and try to implement parallel dynamic portfolios (which might ruin OV for everyone)... I took plain old ARM4 Margin and ran 28 simulations over the same date ranges. I collected performance data so I could compare it to all the machinations of PDP. Using a static portfolio (17 strategies) generated much better returns with a fairly comparable CV (0.0422) without using all the computational load and wiz bang algorithms of PDP. I believe PDP has merit. IF I could find EFs that remotely approximated the performance I see with AISS (automated iterative strategy selection), PW might be a profit reaping machine. But as it is, I've not been able to find any dynamic portfolio (or group of parallel dynamic portfolios) that can beat ARN4 Margin, a simple static portfolio of 17 strategies which don't even use dynamic lists. Why am I sharing all this? I'm hoping either Nirvana or one of you Elite Traders will benefit from my research and come up with a product that will consistently make me money. (The markets had another banner year. I lost my ass[ets], again.) Happy New Years Keith  Attached file : PDP - 7 year - Stock RTMs.xlsx (12KB - 333 downloads) Attached file : PDP - 7 year - ARM4 Margin RTMs.xlsx (14KB - 362 downloads) |
