April 30, 2019 NEW BOOK RELEASED
Reengineering Your Stock Portfolio starts with a friend with whom I often discuss my trading strategies saying: why not write a book on this one? A few days later, I sat down and started writing without needing a plan knowing where I wanted to go and what I needed to do.
My take was, go ahead, simply do it. Modify the original program found on the web as need be and document what you see. At times, I even had a simulation running in the background while I was writing on the coming test result knowing they would be positive. I would then take snapshots of the results I found interesting and document what I saw.
Reengineering Your Stock Portfolio will take you from the simple to the more sophisticated as in a crescendo to the finish. Each step of the way giving you the building blocks to transform the given initial trading strategy which is free on the web, just as the open-source Python optimizer library CVXOPT used in these simulations.
The main innovation of Reengineering Your Stock Portfolio is giving the strategy the ability to jump over the portfolio efficient frontier as if it was a simple line in the sand. And thereby, generate higher returns, much higher than what would be expected playing this game. Jumping over the efficient frontier barrier will put us in unexplored risk-return territories and might force us to reconsider our attachment to old portfolio management theories.
Reengineering Your Stock Portfolio will be using the CVXOPT optimizer library. It will make it responsible for trading decisions. Based on its inputs, the optimizer will determine how many shares will be traded and when, if any. The strategy effectively transferring the trade decision making as well as the final outcome to this black box: the CVXOPT optimizer.
The singularity of this trading strategy will be that it is all controlled by equations. No technical indicators nor alpha-factors will be used.
By itself, the optimizer is totally trade and stock agnostic. It is there to crunch the numbers it is given. It has no sentiment, no preferences, no pressure, no stress, no beliefs, no presumptions. It is neither for you or against you. It will just crunch the numbers that it will be given and give back its answer that it be good or bad. It will not know or even be aware of the outcome of its trading decisions.
The initial trading strategy will be modified, reengineer, and controlled entirely by equations as if we added features or administrative procedures. And since we will be adding these equations ourselves, it will give us control over the trading strategy.
The latest version of this trading strategy is exceptional, not only performance wise but mostly considering what it relies on. You have this black box optimizer not knowing at all what you are doing, and yet, it is able to extract from the market outstanding results.
This goes beyond traditional trading methods.
I simply went for the practical side of things knowing beforehand that it could be done. This book will provide you with not only proof of concept but also the building blocks to reengineer this trading strategy and make it your own.
The most comprehensive equation is at the end, but most likely you will need to read how I got there in order to better understand where it came from.
Your task, should you accept it, will be to reengineer this strategy template to your own liking, making it do what you want it to do just as I did make it my own in these pages. The solution provided is not the only solution. There are a multitude of other strategies that can operate as variations on the same theme, and do as good if not better than this one.
Created. April 30, 2019, © Guy R. Fleury. All rights reserved.