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Author Topic: Portfolio management models from the stock market.  (Read 115 times)
amelie.gcbcap (OP)
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December 15, 2017, 08:30:50 PM
 #1

"Any sufficiently advanced technology is indistinguishable from magic."

Hi friends.

We have completed testing a large number of portfolio strategies previously used in the stock market.
All these strategies belong to the class of "buy and hold" with rebalancing.
Only crypto-currencies from the TOP-20 are used for capitalization.
All decisions are made only by the algorithm. The influence of man on the work of models is excluded.
The table below shows the theoretical effectiveness of the most stable model from 1 January 2017 to the current time.

N---I%(Year)---I/R(M)---I/R(Q)
n1---5 263,15---0,89---0,85
n2---13 117,32---0,87---0,88
n3---8 889,77---0,94---0,78
n4---12 975,26---0,91---0,86
n5---7 253,04---0,90---0,80
n6---14 177,88---0,96---0,75
n7---10 662,23---0,93---0,78
n8---13 453,18---0,89---0,81
n9---7 746,33---0,88---0,78
n10---9 228,11---0,87---0,85
n11---11 894,95---0,93---0,69
n12---15 101,23---0,85---0,65
n13---19 261,24---0,83---0,62
n14---36 662,55---0,71---0,85
n15---16 414,73---0,82---0,82
n16---15 385,15---0,95---0,77
n17---10 994,40---0,91---0,80
n18---11 325,32---0,89---0,75
n19---9 619,99---0,87---0,75
n20---11 201,83---0,89---0,73

Parameter "N" - frequency of rebalancing. N1 - very rarely, N21 - very often.
"I% (Year)" - profitability since the beginning of the year. Yes, there are THOUSANDS of percent.
"I / R (M)" is the ratio of the average monthly return to the average monthly risk (root-mean-square deviation).
"I / R (Q)" is the same as "I / R (M)" only quarterly.

We believe that the crypto-currency market has matured enough to use your developed strategies previously used in stock markets.

P.S. We have been managing our investment portfolio since July 2017. The results of the management correlate with those indicated in the table above.

GCBCapital team.
amelie.gcbcap (OP)
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December 17, 2017, 11:00:10 AM
 #2

1. The task of building a trading system is the task of statistical forecasting the increment of the price on the chosen timeframe for making a decision on changing or maintaining a position.

2. Price increment is a random variable.

3. The task of building a trading system is the task of statistical forecasting of a random variable.

This is the main and only problem of mathematical statistics formulated in the most general form in the construction of trade models. Actually, all modern mathematical statistics are a set of solutions of this problem for a set of particular models. And, often, the researcher of time series with unknown origin is faced with the task of not directly applying methods from books, but constructing an adequate model of the process with the subsequent solution of the problem within the framework of this model. Ie again a special case.

GCBCapital team.
amelie.gcbcap (OP)
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December 28, 2017, 07:22:52 AM
 #3

I'm exultant of my crypto-team!

Increase in the value of our fund units in 2017:

CAT01 - from $1 to $177 (17 600% !!!)

CAT02 - from $1 to $142 (14 100% !!!)

GCBCapital team.
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