April 21, 2011

The initial stage of implementation using Gyro's Trend Checker II showed interesting and promising results. The modifications brought to the original script version were the first steps in implementing trading levels in objective holding functions.

First Gyro Test

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The bottom line was an average 47% compounded rate of return for the 43 stocks portfolio over the 5.83-year testing period. The choice of 43 stocks was simply the number that could fit on my monitor without using PageUp / PageDown all the time (my preference would have been a higher number). The Alpha Power methodology is based on an over-diversification approach. It has been shown in academic papers that about 30 stocks are sufficient for diversification as the average portfolio price will tend to be within 5% of the average market price.

It is worth noting that in the end, the stock achieving the highest return is also the stock with the highest ending allocation. 

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AAPL ADM AGQ AMZN
BHH BIDU CCK CF
CMG CRDN CSX DBS
DDS DIT ERX GLD
GTLS IBM IMAX IPGP
JNPR NFLX NTES PAAS
PANL PCLN SCCO SINA
SLV SLW SOHU SRZ
TBL TDSC TRMB TRN
TSCO TZOO ULTA URI
WLK WTW XOP  

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 Created on ... April 21, 2011,   © Guy R. Fleury. All rights reserved.