In the second post on the DVI system, I will explore some effects on portfolio trading this strategy. In the table below I have summarised the performance results of the various stages of the system as well as the top 3 performers of the DVI system as I left it in the earlier post.
I like this strategy as it has been constructed based on simple rules, it works across a broad set of different trading instruments and it has shown a decent performance in the period 1/1/2003 – 1/8 2010 without optimizing the parameters. So what would be my way to trade this strategy? Would I invest in the best performing instruments or in the top 3 or …? In trying to answer these questions, my view is that we are stepping into the domain of strategical asset allocation and portfolio management. In an earlier post I emptied my head on these subjects and decided to start trying out some stuff. So here goes my first experiment.