Here is what the random portfolio looks like after its first day on the job.
Wednesday, May 28, 2008
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4 comments:
Why are you not backtesting this strategy? I thought the point was to test "differing money mgmt condition on the entries".
Sia,
StockFetcher does not allow for random entry trades, so using traditional backtesting tools is out of the question.
The only way I can think of to backtest a random entry system would be to create a unique and random list of stocks for each of the last X number of weeks, and then manually look up the entry and exit prices for each of those stocks, as well as check for stop loss hits on each day.
I'm sure you can imagine how laborious this would be. Give it a go if you wish.
A practical alternative is to create a portfolio of randomly selected stocks, and then use a portfolio tracker to keep tabs on performance going forward.
As for money management, I have decided to use the equal dollars per position method for simplicity's sake.
Woodshedder has expressed interest in creating a portfolio using a different money management scheme, so I provided him with the spreadsheet of the stock symbols fed into the random list creator, as well as the random list. Each week of the experiment, I will provide Woodshedder with a copy of the new random list that I create for the following week's trading.
If you or anyone else would be interested in using these lists to manage paper portfolio's using different money management techniques, then send me your email address and I will add you to the distribution list. The only requirement is that you post your money management scheme to a blog and provide us with the performance results.
This could turn out to be a comprehensive community project if enough bloggers express an interest.
Dog, I'm wondering if I should apply every MM technique across all stocks in the portfolio, or just assign a different technique to each stock selected.
If applied to all, then, as stops or profit targets are hit, the stocks get eliminated.
Whaddayathink?
I would apply one technique to the entire portfolio, which would make our portfolio comparisons more meaningful. It also will save you a bunch of time.
If someone else wants to join the party, then they can try MM technique number three.
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