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 - 338 downloads) Attached file : PDP - 7 year - ARM4 Margin RTMs.xlsx (14KB - 367 downloads)Posts: 744
Joined: 10/11/2012
Location: Sleepy Hollow, IL
User Profile Posts: 890
Joined: 10/11/2012
Location: Portland, OR
User Profile Here is the export and a couple screen grabs for the PDP portfolio that used the stock RTM strategies.
Keith
Attached file : PDP.xls (178KB - 349 downloads) Attached file : PDP portfolios.png (110KB - 347 downloads) Attached file : PDP graph.png (111KB - 346 downloads)Posts: 890
Joined: 10/11/2012
Location: Portland, OR
User Profile Here is the export and screen grabs for the PDP ARM account (that used the 17 ARM4 Margin strategies only).
Keith
Attached file : PDP ARM.xls (176KB - 350 downloads) Attached file : PDP ARM portfolios.png (114KB - 350 downloads) Attached file : PDP ARM graph.png (119KB - 348 downloads)