R-Portfolio - a diversification method - page 5
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Да, MCD. Ок, Юрий, выходит, что в вашем случае несчастный макдак должен был вытянуть весь портфель? то есть любой портфель, составляемый вашим алгоритмом должен содержать макдак с большим весовым коэффициентом, что бы иметь растующую доходность?
It's much simpler than that. I have two portfolios generated in my program at once: one for long positions and one for short positions.
No, it is McDonalds by the MCD symbol. Of all the securities, DJI is the only one that not only did not crumble in 2008, but also posted a profit for the year.
That didn't occur to me. We are discussing portfolios and choosing from hundreds or thousands of assets. I don't get you. You're a trader, but you act like a sucker manager. I don't get it.ЗЫ: как известно на большинстве наиболее популярных ДЦ (которые работают через МТ) - листинг ценных бумаг крайне скуп. и мне представляется сомнительным, что из такого малого количества активов удастся создать оптимальный портфель.
Поэтому было бы крайне интересно - как можно (и вообще возможно ли) применить данный метод к валютам, ну или к CFD.
I had to change the method. The modified method turned out to be better in all tests. The point of modification is the following: it's not profit from the instrument, but profitability per invested unit of money. In this case it shows how to distribute money to instruments as shares, not how many lots to buy.
Tried to the currencies. If we take pure currencies, nothing good came out - they are very strongly positively correlated. I would not be able to build a portfolio of such instruments, because everything will either fall or rise. On the other hand, it worked together with gold.
At the moment the shares are as follows:
67% of money to invest in NZDUSD
33% in gold
I opened a demo account for $250,000 to test it in practice:
Trading server: UWC-Demo.com
Account number (login): 252744
Investor password: mx7wduc
Here are the results for couple of days (I was testing and debugging the Expert Advisor yesterday, that's why profits of opened positions were not so high this morning, about $10 000). The main profit has been made today after the Expert Advisor had no problems:
If anybody would like to try it, I attach an EA.
It should be run on gold and NZDUSD charts
The input parameter for:
Gold p value = 0.33
NZDUSD p = 0.67
goldtrader:
A practical example would be very useful. I can provide datafeeds on all NYSE stocks real-time.
The site listed on the first page of this thread is no longer working and there is no desire to pay for domain renewal.
Here is a new version of R-Portfolio, now as a handy uninstaller for Windows.
What's changed:
- As input data - quotes in a spreadsheet in CSV format. You may edit in Excel, or (if you know how to program) - programmatically. The output is a portfolio.
- Instead of table of returns in pips, yields are used as a payment matrix. This allows obtaining the portfolio as a percentage of the investment instead of the number of lots for each instrument.
- The portfolio consists of long and short positions, which diversify each other.
- Distribution license: Creative Commons (cc by-nd). I.e. if inspectors get hold of the software for pirated software, the software is licensed (as indicated in the "About" menu), which means that there should be no legal problems. And at the same time, the license allows the software to be freely distributed and used for commercial purposes.
The uninstaller can be found in the attached archive. If there are no viruses: I have checked, there should be no viruses (if you check again, it won't be any worse).New version 1.01 of R-Portfolio