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I have done manual backtesting in excel and found rules that enhance performance from 1950 to now, using the STDEV for daily returns in the SP500 and the recent performance of the SP500 to vary total amount invested in the SP500 on a daily or weekly basis.

These rules nearly doubled my hypothetical total returns, decreased negative Skew, and lowered STDEV. The system basically invests anywhere from 0 to 250% in the SP500 based on the indicators. This also intuitively makes sense. In strong up markets with low vol, we might want to invest a higher amount than we would during strong down markets with big vol.

So...my request:

I am asking for a variable % of total 'amount' available module or even just one 'quick formula' area - that allows me to vary the % invested in a port or rim based on some rules and backtest this.

Another page or single 'quick' formula in Sim's and ports (or screens) where I can use rules to change the % of total amount invested in a portfolio from 0% to X% based on rules. Even just one field or screen where I can put in a formula that determines the amount to invest using existing P123 components.

For example the 30 day return of the module over the 30 day return of the SP500. Or the 200 Day VIX over the 30 day VIX SMA. That kind of thing. The combo's could be very simple to start.

There will be 'work arounds' with the 'book of sim's, but they will be more crude than having a separate module for this in sims.

I would love to be able to test this more formally as a '% of total amount invested' indicator within P123.
Results: Total score: 66 , # of Votes: 18 , Average: 3.7
a
 
56 (14)
b
 
9 (3)
c
d
 
1 (1)
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: Tomyani
On date: 06/10/13
Category: Simulation

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