May 17th, 2011
Progress is being made on the implementation phase. At each implementation level - by adding holding functions - performance is improving. The last chart in the Control Settings article shows six levels of controls. The intention was to pre-set control parameters to extract from the price movement more profits as you turn up the pressure on the objective holding functions.
The method is not trying to predict future price movements. It pre-sets the trading behavior. In the Jensen Modified Sharpe paper; trading behavior is set using equations governing profit generation: an initial bet, followed by a controlled trade sequence. These equations trigger the trading behavior; the stock accumulation program. Should the price movement behave in such a way as to trigger the trades, then the equations will provide the answer to the accumulated profits for the level reached. No movement in price, no trade meaning no profits.
Anyone playing this stock market game can only profit if there is price variation and if it is on their side. Trading based on mathematical equations instead of market indicators may sound strange at first, but the rewards may more than compensate.
One side effect of a mathematically driven trading strategy is that portfolio performance is pre-set; you play your game within the game. The article on the Implementation Phase provides just a preview. Already the tables presented reached new heights; way above the simple Buy & Hold.
Created on ... May 17, 2011, © Guy R. Fleury. All rights reserved.