This paper is an extension to 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 data sets. 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 papers.
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.