Recent content by Sergey Kamenshchikov

Hello dear traders and analysts! What do you think about trading of portfolio ratios? Is there any sense in comparison to spread trading or long/short portfolios. Each time I make an order a capital parity is preserved automatically. Example - DJI-"top" stocks vice DJI index: [HD+UNH+...]/DJI...

Hello dear traders and analysts! What do you think about trading of portfolio ratios? Is there any sense in comparison to spread trading or long/short portfolios. Each time I make an order a capital parity is preserved automatically. Example - DJI-"top" stocks vice DJI index: [HD+UNH+...]/DJI...

I have made optimization for 2009-2014 and displayed portfolio equity corresponding to this structure of weights. 2014-2015 is forward test.

I appreciate your comments. Thanks. There are 12 assets in the basket: 6 Long/6 Short. Portfolio structure has not been updated since 2009 - the same assets (the same weights). Weights are optimized over 2009-2014.

Here you can see forward test results. Optimization:2009-2014. Observation:2014-2015.

Here you can find forward test results. Optimization:2009-2014.Observation:2014-2015. https://drive.google.com/open?id=0B7JXJsp6GwB8R1NVdUttSTlmQnM

Sorry:) Not BUY&HOLD, buy ENTER/HOLD strictly speaking. Yes, it is LONG/SHORT basket.

Hi! It's a simulation of BUY&HOLD strategy. We invested $100K last month just for analysis of real brokerage costs. However we will start the project and raising funds in December.

Portfolio is based on BUY&HOLD approach (no get outs). Yes, you are quite right. There are several filters combined with traditional optimization of weights. These filters provide stability and allow to remove portfolios with unstable behaviour from selection cycle. However it has 6 degrees of...

Thank you so much for this comment. Very fruitful ideas. 1) "are you selling me a golden goose". Totally agree. However I will be able to give only general ideas of optimization, because algorithm itself is novel and far from traditional (protected). I think about forward test: optimization...

Thanks for your comment. Our #1 goal is marketing attractiveness of this instrument for passive unsophisticated investors. Thanks for comparison with mutual funds. "it is dubious in nature to a more knowledgeable individual". You mean that knowledgeable individual may need to know more about...

Thanks for your reply. Nobody is perfect :) Though this portfolio is beta neutral, it's perfomance depends on underlying index volatility. Low volatility (like in 2013) decreases spread between long and short parts of portfolio. The only way out - to invest in several markets. Transaction costs...

It is still paper trading. However we are starting the actual program in December. Thanks.