I have started the SPY Portfolio for 2011 on the basis of the optimization results for the period 2000-2010 (monthy prices).
As of now I started the run with day prices but if the volatility is low I would probably use monthly prices.
Start condition
Investment $ 20000
Trading Cost = $ 10,95/trade
Interest 2% Annual Base. Compounded on each date entry.
Buy HZ= 20%. . . Sell HZ= 7,5%
Buy Aggression Factor Fb= 0,8 . . .Sell Aggression Factor Fs= 0,6
Cash Limiting Factor = 0,6( when Buy Amount > Reserve Amount Buy 60% of Reserve Value(No borrowing on Equity Credit).
Yield Calculation using ROTAI(using Time Averaged Investment)
Cash to start= 72% = $14.400,00
Stock to start 28% = $5.600,00
Price 01-01-2011 = $ 127,05 Closing Price
Number of shares = 44;08 Trade Cost= $ 10,95
Stock =$ 5600,00
PC=$ 5600,00
Reserve = $14.389,05
PV= $ 19.989,05
Regards,
