Optimized Trading

The chart below plots the relative performance of my system (MODEL_PORTFOLIO), S&P 500 Index (SPX), Nasdaq Composite (IXIC) and the Vanguard Total Stock Market ETF (VTI) fund.  With the chart interface below you can select and view any date range to see the relative performance of the model versus those indices.

The model above was designed to beat the market consistently on an annual basis.  Invariably, however, the model is able to outperform the broader market over a shorter period as well (eg., 3 months).

Part of the method above selects from a pre-screened list of sector-based ETFs.  It attempts to minimize downside risk while maximizing profit opportunity by looking for and investing only during key periods of increased market volatility.  The models test dozens of multidimensional variables over several time periods while working within key constraints.  Winning models are forward (aka “live”) tested while revisions and new optimizations continue.

EDIT:  April 2013

The model above is the thirteenth (v13) iteration of a strategy I’ve been building upon since 2009.  Prior to January, 2012 I used correspondingly earlier versions (eg., v3, v7, v11, v13).  I used v13 specifically in live trading from January of 2012 to March of 2013.    During that time I’ve continued to test, revise and add improvements to the underlying methods, now at version v15.

I’ve also now implemented a method to pre-screen from a wider variety of stocks, funds and ETFs.  Filtering is set to find volatility and growth attributes.  Once found, the basic model is re-run to find new optimized parameters that take the changes in multiple investments into account.  Building upon the sector-based ETF screening from v13, the latest methods of filtering search through a much larger base, adding individual stocks and commodities to the search pool.  This offers a new level of diversification potential, with it increased stability and security, allocating smaller percentages of the total portfolio over a wider range of investments.

I have been trading live with v15 since March of 2013 and will post results once the model has gone through a few dozen rounds of trading.