July 6, 2011

This paper is an extension of my previous work which has finally arrived at the implementation phase. It presents, almost in chronological order, simulations and their performance metrics performed on 3 different datasets. The purpose is to demonstrate that when the Alpha Power trading methodology is applied to real market data; it does better than theoretical expectations or tests performed on randomly generated data series as developed and described in my previous paper.

The paper proposes a set of equations governing trading behavior which use positive feedback to push portfolio performance way beyond what could be achieved by the Buy & Hold strategy.

The implementation phase also demonstrates some attributes of equations given in the Jensen Modified Sharpe paper which allowed performance control. You want more performance; simply increase the pressure applied to your governing objective functions.


Created on ... July 6, 2011,    © Guy R. Fleury. All rights reserved.