Long/Short portfolio in DAX universe: stationarity filters

[Sergey Kamenshchikov]

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

 

[Sergey Kamenshchikov]

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

 

[debitspread]

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

OK, thanks. How many names are you long & short? How often does the portfolio turn over (presumably you don't still have your 2009 names)?.. These are the first questions a real investor would ask.

 

[Sergey Kamenshchikov]

OK, thanks. How many names are you long & short? How often does the portfolio turn over (presumably you don't still have your 2009 names)?.. These are the first questions a real investor would ask.

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.

 

[debitspread]

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.

How could you use weights in 2009 that you needed data through 2014 to 'optimize'?

 

[Sergey Kamenshchikov]

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