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Trading in ‘Real Time’ using the POTS Method: Month 1 Setup
Month 1: As of Market(s) Close on Friday August 25th, 2012
The Is-Twenty-Plenty Fund:-
Quantitative Trading Strategies to be employed over next month, and amount invested per trade:
Historically (previous 500 trading days), this portfolio of 4 Trading Strategies has performed as follows:
Quantitative Trading Strategies to be employed over next month, and amount invested per trade:
Historically (previous 500 trading days), this portfolio of 5 Trading Strategies has performed as follows:
Quantitative Trading Strategies to be employed over next month, and amount invested per trade:
Historically (previous 500 trading days), this portfolio of 7 Trading Strategies has performed as follows:
Key Learnings:-
Comparing the Portfolio Of Trading Strategies determined to be used over the coming month for each fund, it is immediately apparent that the more money you have to invest, the more diversified you can be with your portfolio of strategies. And comparing historic performance shows that while having more money may not increase your returns (based on historic results) it does decrease the volatility of these returns, and thereby results in a much improved Information Ratio. Our natural risk aversion as our wealth increases results in smaller relative drawdowns, which further improves our Raw POTS Score.
Next Month:-
Next month I will report on the performance of the funds structured as above, conveying the results of each indivudal strategy and the individual fund as a whole. I will then repeat the rebalance process to generate a new Portfolio Of Trading Strategies.
I will ALSO repeat the above process for a few much larger funds, in an attempt at conveying the suitability of the POTS Method for a full range of funds (by size).
Any questions? Just give me a yell at andrew(at)yohf.net or leave a comment below.
2012-08-30 00:44:52
Source: http://yohf.net/2012/08/29/trading-in-real-time-using-the-pots-method-month-1-setup/
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