DVI system (2/2)

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.

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DV2 Indicator for Amibroker

Following my post on the DVI system, a reader asked me to post the DV2 indicator code for Amibroker. As the  code is available over at MarketSci in MS Excel sheet, I felt I can share my Amibroker translation. So here it is (the bounded version): function DV2(Length) { d1= ( C  /  ((H+L)/2) ) … Read more

DVI system (1/2)

In this series of posts I share my exploration of the use of the DVI indicator in a strategy be applied to a broader set of ETF’s. The strategy will use the DVI indicator complemented with a long term filter and short term timing mechanism. Applying of the strategy to a portfolio of ETF’s will allow’s to assess … Read more

DVI Indicator for Amibroker

In view of the series by Michael Stokes on the DVI indicator developed by David Varadi I have translated the code  into an Amibroker indicator. Have fun with it! // —- Functions Used by the indicator — function PercentRank( Data, Periods ) { Count = 0;    for ( i = 1; i < Periods … Read more

Tools & Setup

The picture below shows the tools & the setup I am using.  The aim of this setup is to give me a semi-automatic analysis environment that occasionally can run stand-alone trading execution. Data:  yahoo.com. It’s free and used by many. Yes I am aware of some data accuracy problems, however have come across none yet myself. I … Read more

Strategy 2 – Monthly End-of-the-Month (MEOM)

The 2nd strategy is a the Turn-on-the-Month implementation applied to a universe of 26 ETF’s. Excellent risk vs reward results are achieved, reflected by an annualized sharp ratio of 5.56. Details below. Signals of this strategy will be provided through this blog starting  end of June 2010. Strategy Concept The seasonal strategy is based on the Turn-of-the-Month anomaly. … Read more