I have Optimised the Current SPY Demo Portfolio for the period 20-05-2102 to 18-09-2012 based on the slowly rising SPY price and low volatility. I have used the procedure below:
1) Determine the “best” Hold Zones for the current Trading Range by inspection;
2) Use the Hold Zones in (1) and then calculate the effects on a Round Robin Trading cycle by varying the Aggression Factors and also “fine tune” the Hold Zones..
I started with the Hold Zones I had set with a manual procedure to prevent too much trading at small price differeces:
HZ B= 2%
HZ S= 3%
Trade Aggression
Buy = 0,95
Sell= 0,95. . .this was considered to be correct in the basis of reaping trading profits between the Trading Limmits
I started with the CER that prevailed on 29-05-12 in the current Demo.
Results for the optimisation
Holding Zones
HZ B = 4%
HZ S = 13%
Trade Aggression
Buy = 0,98
Sell =0
These setting produces a rather nice profit of about 40 @ per year but a number of Sells were generated below the minimum Trade Amount/ Eliminating these increased the profit due to trade cost reductions. On practice these trades would not be made either.
Starting conditions for the Optimisation
Cash = 21532
Share V = 8751
Reserve = 12781
Trading Cost = 10,95 per trade
Interest on Reserve = 2%/yr
Number of trades = 2. . .Trading cost = 21,90
Interest Earned = 5
PV value on 18 September = 24348
Reserve = 3271
Share Value = 21076
Profit
ROI = 42,5 % /yr
ROTAI = 35,3 % /yr
Obviously the optimisation has zeroed in on the average rising trend that currently is present and has capitalises on a single significant Price Dip and a significant Recovery price.
Trial & error procedures with different hold zones showed that many more traded could be generated within the Trading Range but the trading cost penalised that.
Of course these optimised settings would have to be adjusted if the price patterns changed outside the trend channel the price is moving on now.
