Fully Automatic Trading: an experiment (logs)
This page is a weekly updated page with the rebalancing logs and the portfolio statistics. For the story behind this, see the links below. The changes of the total value of the portfolio can be seen here (so far it is only a few data points).
Changelog:
- 2012-02-22: Completely redesigned code from scratch to only use freely available solvers. In fact the current code basis uses GLPK now. The design decision was complex but in the end the fact that GLPK is also free for commercial use was an important aspect. Initially I wanted to go for Cbc however (a) I could not compile the code on the road – I am traveling at the moment (b) the binaries, I would have even been happy with the old ones, failed because of some missing fortan lib that I could not install on the go. However the current interface is very generic and in fact LP-file based. So while paying the overhead for going via the filesystem essentially any solver that can read LP files can be used now. The only thing that has to be changed is the output parser.
- 2011-12-07: There was a problem with the data feed. In fact, for some symbols daily relative changes between -90% and +250% occurred. While it is not clear where these “jumps” come from (I could not find any splits etc.) and I suspect this to be a data quality problem it leads to wrong and highly suboptimal solutions. I added a security mechanism that does some sanity checks on the data and if the data for a symbol appears to be flawed with high probability then the algorithm will not trade that particular symbol. One of these symbols is MRK.DE (see here) which comprises a large fraction of the current portfolio allocation. Therefore when rebalancing next week the algorithm will fully liquidate this position. Expected loss due to transaction costs will be roughly 1% and I decided to “pay” for the bug via transaction costs; this would have been the case for a real portfolio.
Related articles
- How far can you get with automatic trading – an experiment
- Fully automatic trading experiment: a few remarks and clarifications
- Changes of total portfolio value
DISCLAIMER: Do not attempt to use the allocation vectors for actual trading. This is a game! The code has been written in less than 48 hours and neither is bug-free nor is it clear that it does anything useful!! Who knows, maybe I am maximizing the amount of cash burned per time step – do you really want to guinea-pig this out?
----------------------------------------------------------------------------- week 31: -1.05% (BTD +5.86%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.26766 10.00000 0.73234 2 9.27088 9.27090 0.00002 ----------------------------------------------------------------------------- V 9.27088 9.27088 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- ADS.DE 9.00 543.24 549.63 1.18 BMW.DE 13.00 875.55 864.89 -1.22 IFX.DE 79.00 537.99 526.46 -2.14 VOW3.DE 25.00 3401.25 3305.00 -2.83 cash 5340.72 5340.72 5340.72 0.00 ----------------------------------------------------------------------------- Total ---- 10698.75 10586.70 -1.05 --= Portfolio Changelog =-- Symbol curAss newAss tcosts percentage ----------------------------------------------------------------------------- ADS.DE 9.00 9.00 0.00 5.19 BMW.DE 13.00 13.00 0.00 8.17 IFX.DE 79.00 86.00 6.37 5.41 VOW3.DE 25.00 25.00 0.00 31.22 cash 5340.72 5294.07 0.00 50.01 ----------------------------------------------------------------------------- cash-tc 5340.72 5287.71 0.00 Turnover: 46.65 (0.44%) ----------------------------------------------------------------------------- week 30: -2.58% (BTD +7.26%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.27797 10.00000 0.72203 2 9.28334 9.28351 0.00017 3 9.28334 9.28334 -0.00000 ----------------------------------------------------------------------------- V 9.28334 9.28334 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- BMW.DE 19.00 1370.47 1279.65 -6.63 IFX.DE 74.00 552.19 503.94 -8.74 VOW3.DE 25.00 3546.25 3401.25 -4.09 cash 5541.42 5541.42 5541.42 0.00 ----------------------------------------------------------------------------- Total ---- 11010.33 10726.26 -2.58 --= Portfolio Changelog =-- Symbol curAss newAss tcosts percentage ----------------------------------------------------------------------------- BMW.DE 19.00 13.00 9.94 8.16 IFX.DE 74.00 79.00 6.24 5.02 VOW3.DE 25.00 25.00 0.00 31.71 cash 5541.42 5368.23 0.00 50.05 ADS.DE 0.00 9.00 11.33 5.06 ----------------------------------------------------------------------------- cash-tc 5541.42 5340.72 0.00 Turnover: 981.39 (9.15%) ----------------------------------------------------------------------------- week 29: 2.77% (BTD +10.17%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.30475 10.00000 0.69525 2 9.31063 9.31080 0.00017 3 9.31063 9.31063 0.00000 ----------------------------------------------------------------------------- V 9.31063 9.31063 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- BMW.DE 19.00 1320.50 1370.47 3.78 IFX.DE 74.00 562.70 552.19 -1.87 VOW3.DE 26.00 3430.70 3688.10 7.50 cash 5406.89 5406.89 5406.89 0.00 ----------------------------------------------------------------------------- Total ---- 10720.79 11017.65 2.77 --= Portfolio Changelog =-- Symbol curAss newAss tcosts percentage ----------------------------------------------------------------------------- BMW.DE 19.00 19.00 0.00 12.44 IFX.DE 74.00 74.00 0.00 5.01 VOW3.DE 26.00 25.00 7.32 32.19 cash 5406.89 5548.74 0.00 50.36 ----------------------------------------------------------------------------- cash-tc 5406.89 5541.42 0.00 Turnover: 141.85 (1.29%) ----------------------------------------------------------------------------- week 28: 1.35% (BTD +7.28%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.27657 10.00000 0.72343 2 9.28391 9.28416 0.00026 3 9.28391 9.28391 -0.00000 ----------------------------------------------------------------------------- V 9.28391 9.28391 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- BMW.DE 19.00 1268.82 1320.50 4.07 IFX.DE 74.00 552.19 562.70 1.90 VOW3.DE 27.00 3481.65 3562.65 2.33 cash 5282.16 5282.16 5282.16 0.00 ----------------------------------------------------------------------------- Total ---- 10584.82 10728.01 1.35 --= Portfolio Changelog =-- Symbol curAss newAss tcosts percentage ----------------------------------------------------------------------------- BMW.DE 19.00 19.00 0.00 12.31 IFX.DE 74.00 74.00 0.00 5.25 VOW3.DE 27.00 26.00 7.22 31.98 cash 5282.16 5414.11 0.00 50.47 ----------------------------------------------------------------------------- cash-tc 5282.16 5406.89 0.00 Turnover: 131.95 (1.23%) ----------------------------------------------------------------------------- week 27: -1.33% (BTD +6.05%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.26612 10.00000 0.73388 2 9.27208 9.27230 0.00022 3 9.27208 9.27208 0.00000 ----------------------------------------------------------------------------- V 9.27208 9.27208 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- BMW.DE 19.00 1291.05 1268.82 -1.72 IFX.DE 4.00 30.58 29.85 -2.38 VOW3.DE 30.00 3988.50 3868.50 -3.01 cash 5438.54 5438.54 5438.54 0.00 ----------------------------------------------------------------------------- Total ---- 10748.67 10605.71 -1.33 --= Portfolio Changelog =-- Symbol curAss newAss tcosts percentage ----------------------------------------------------------------------------- BMW.DE 19.00 19.00 0.00 11.96 IFX.DE 4.00 74.00 11.12 5.21 VOW3.DE 30.00 27.00 9.77 32.83 cash 5438.54 5303.05 0.00 50.00 ----------------------------------------------------------------------------- cash-tc 5438.54 5282.16 0.00 Turnover: 909.19 (8.57%) ----------------------------------------------------------------------------- week 26: 0.83% (BTD +7.55%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.28367 10.00000 0.71633 2 9.28471 9.28474 0.00003 ----------------------------------------------------------------------------- V 9.28471 9.28471 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- BMW.DE 21.00 1419.39 1426.95 0.53 IFX.DE 4.00 29.52 30.58 3.56 VOW3.DE 30.00 3909.00 3988.50 2.03 cash 5309.90 5309.90 5309.90 0.00 ----------------------------------------------------------------------------- Total ---- 10667.82 10755.93 0.83 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- BMW.DE 21.00 19.00 7.26 IFX.DE 4.00 4.00 0.00 VOW3.DE 30.00 30.00 0.00 cash 5309.90 5445.80 0.00 ----------------------------------------------------------------------------- cash-tc 5309.90 5438.54 0.00 Turnover: 135.90 (1.26%) ----------------------------------------------------------------------------- week 25: -1.84% (BTD +7.16%) Getting current close prices... Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.28081 11.00000 1.71919 2 9.28154 9.28174 0.00019 3 9.28153 9.28164 0.00010 4 9.28156 9.28159 0.00002 ----------------------------------------------------------------------------- V 9.28156 9.28156 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 129.17 125.48 -2.86 VOW3.DE 18.00 2542.50 2345.40 -7.75 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10917.10 10716.31 -1.84 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- IFX.DE 17.00 4.00 6.86 VOW3.DE 18.00 30.00 21.54 cash 8245.43 5358.39 0.00 BMW.DE 0.00 21.00 20.09 ----------------------------------------------------------------------------- cash-tc 8245.43 5309.90 0.00 Turnover: 3078.94 (28.73%) ----------------------------------------------------------------------------- week 24: 0.04% (BTD +9.17%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.29939 11.00000 1.70061 2 9.29939 9.29939 0.00000 ----------------------------------------------------------------------------- V 9.29939 9.29939 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 128.69 129.17 0.37 VOW3.DE 18.00 2538.90 2542.50 0.14 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10913.02 10917.10 0.04 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- IFX.DE 17.00 17.00 0.00 VOW3.DE 18.00 18.00 0.00 cash 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- cash-tc 8245.43 8245.43 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 23: 0.02% (BTD +9.13%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.29916 11.00000 1.70084 2 9.29916 9.29916 -0.00000 ----------------------------------------------------------------------------- V 9.29916 9.29916 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 131.32 128.69 -2.01 VOW3.DE 18.00 2534.40 2538.90 0.18 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10911.15 10913.02 0.02 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- IFX.DE 17.00 17.00 0.00 VOW3.DE 18.00 18.00 0.00 cash 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- cash-tc 8245.43 8245.43 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 22: -0.64% (BTD +9.12%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.29905 11.00000 1.70095 2 9.29905 9.29905 -0.00000 ----------------------------------------------------------------------------- V 9.29905 9.29905 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 130.05 131.32 0.98 VOW3.DE 18.00 2605.50 2534.40 -2.73 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10980.98 10911.15 -0.64 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- IFX.DE 17.00 17.00 0.00 VOW3.DE 18.00 18.00 0.00 cash 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- cash-tc 8245.43 8245.43 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 21: 0.70% (BTD +9.81%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.30544 11.00000 1.69456 2 9.30544 9.30544 -0.00000 ----------------------------------------------------------------------------- V 9.30544 9.30544 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 120.75 130.05 7.70 VOW3.DE 18.00 2538.90 2605.50 2.62 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10905.08 10980.98 0.70 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- IFX.DE 17.00 17.00 0.00 VOW3.DE 18.00 18.00 0.00 cash 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- cash-tc 8245.43 8245.43 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 20: -0.18% (BTD +9.06%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.24119 11.00000 1.75881 2 9.29848 9.30016 0.00167 3 9.29848 9.29848 0.00000 ----------------------------------------------------------------------------- V 9.29848 9.29848 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 127.91 120.75 -5.60 VOW3.DE 18.00 2551.50 2538.90 -0.49 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10924.84 10905.08 -0.18 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 18.00 18.00 0.00 IFX.DE 17.00 17.00 0.00 cash 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- cash-tc 8245.43 8245.43 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 19: 0.64% (BTD +9.24%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.24327 11.00000 1.75673 2 9.30037 9.30204 0.00166 3 9.30037 9.30037 0.00000 ----------------------------------------------------------------------------- V 9.30037 9.30037 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 124.49 127.91 2.74 VOW3.DE 18.00 2485.80 2551.50 2.64 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10855.72 10924.84 0.64 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 18.00 18.00 0.00 IFX.DE 17.00 17.00 0.00 cash 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- cash-tc 8245.43 8245.43 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 18: -0.20% (BTD +8.56%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['SDF.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.23681 11.00000 1.76319 2 9.29398 9.29565 0.00167 3 9.29398 9.29398 0.00000 ----------------------------------------------------------------------------- V 9.29398 9.29398 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 120.60 124.49 3.23 VOW3.DE 18.00 2511.00 2485.80 -1.00 cash 8245.43 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- Total ---- 10877.03 10855.72 -0.20 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 18.00 18.00 0.00 IFX.DE 17.00 17.00 0.00 cash 8245.43 8245.43 0.00 ----------------------------------------------------------------------------- cash-tc 8245.43 8245.43 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 17: 1.48% (BTD +8.84%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.23953 11.00000 1.76047 2 9.29623 9.29787 0.00164 3 9.29623 9.29623 0.00000 ----------------------------------------------------------------------------- V 9.29623 9.29623 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 116.96 120.60 3.11 VOW3.DE 19.00 2495.65 2650.50 6.20 cash 8113.22 8113.22 8113.22 0.00 ----------------------------------------------------------------------------- Total ---- 10725.83 10884.32 1.48 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 19.00 18.00 7.29 IFX.DE 17.00 17.00 0.00 cash 8113.22 8252.72 0.00 ----------------------------------------------------------------------------- cash-tc 8113.22 8245.43 0.00 Turnover: 139.50 (1.28%) ----------------------------------------------------------------------------- week 16: 1.94% (BTD +7.33%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['SDF.DE', 'MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.22671 11.00000 1.77329 2 9.28212 9.28369 0.00157 3 9.28212 9.28212 0.00000 ----------------------------------------------------------------------------- V 9.28212 9.28212 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 104.77 116.96 11.63 VOW3.DE 20.00 2435.00 2627.00 7.89 cash 7989.09 7989.09 7989.09 0.00 ----------------------------------------------------------------------------- Total ---- 10528.86 10733.05 1.94 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 20.00 19.00 7.21 IFX.DE 17.00 17.00 0.00 cash 7989.09 8120.44 0.00 ----------------------------------------------------------------------------- cash-tc 7989.09 8113.22 0.00 Turnover: 131.35 (1.22%) ----------------------------------------------------------------------------- week 15: -0.21% (BTD +5.28%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.20614 11.00000 1.79386 2 9.26332 9.26499 0.00167 3 9.26332 9.26332 0.00000 ----------------------------------------------------------------------------- V 9.26332 9.26332 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 103.38 104.77 1.35 VOW3.DE 20.00 2459.00 2435.00 -0.98 cash 7989.09 7989.09 7989.09 0.00 ----------------------------------------------------------------------------- Total ---- 10551.47 10528.86 -0.21 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 20.00 20.00 0.00 IFX.DE 17.00 17.00 0.00 cash 7989.09 7989.09 0.00 ----------------------------------------------------------------------------- cash-tc 7989.09 7989.09 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 14: 1.40% (BTD +5.58%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.20887 11.00000 1.79113 2 9.26573 9.26738 0.00165 3 9.26573 9.26573 0.00000 ----------------------------------------------------------------------------- V 9.26573 9.26573 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 95.27 103.38 8.51 VOW3.DE 21.00 2443.35 2581.95 5.67 cash 7873.27 7873.27 7873.27 0.00 ----------------------------------------------------------------------------- Total ---- 10411.89 10558.59 1.41 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 21.00 20.00 7.13 IFX.DE 17.00 17.00 0.00 cash 7873.27 7996.22 0.00 ----------------------------------------------------------------------------- cash-tc 7873.27 7989.09 0.00 Turnover: 122.95 (1.16%) ----------------------------------------------------------------------------- week 13: -1.03% (BTD +4.11%) ------------------------------------------------------------------------- There have been anomalies in the data for the following symbols: ['SDF.DE', 'MRK.DE'] Threshold was: 0.8 Trading of these symbols has been deactivated for security reasons! You can override the choice by manually changing the blacklist ------------------------------------------------------------------------- Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.19814 11.00000 1.80186 2 9.25214 9.25362 0.00149 3 9.25214 9.25214 0.00000 ----------------------------------------------------------------------------- V 9.25214 9.25214 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- IFX.DE 17.00 98.34 95.27 -3.13 VOW3.DE 21.00 2548.35 2443.35 -4.12 cash 7873.27 7873.27 7873.27 0.00 ----------------------------------------------------------------------------- Total ---- 10519.96 10411.89 -1.03 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- VOW3.DE 21.00 21.00 0.00 IFX.DE 17.00 17.00 0.00 cash 7873.27 7873.27 0.00 ----------------------------------------------------------------------------- cash-tc 7873.27 7873.27 0.00 Turnover: 0.00 (0.00%)
—————————————————————————–
week 12: 0.25% (BTD +5.91%)
————————————————————————-
There have been anomalies in the data for the following symbols:
['SDF.DE', 'MRK.DE']
Threshold was: 0.8
Trading of these symbols has been deactivated for security reasons!
You can override the choice by manually changing the blacklist
————————————————————————-
Recomputing portfolio vectors…
Itn LB UB error
—————————————————————————–
1 9.26810 11.00000 1.73190
2 9.26924 9.26937 0.00013
3 9.26925 9.26925 0.00000
—————————————————————————–
V 9.26925 9.26925 -0.00000
Result.
–= Portfolio Statistics =–
Symbol curAss lastVal curVal chg
—————————————————————————–
MRK.DE 36.00 2615.40 2641.32 0.99
cash 7949.22 7949.22 7949.22 0.00
—————————————————————————–
Total —- 10564.62 10590.54 0.25
–= Portfolio Changelog =–
Symbol curAss newAss tcosts
—————————————————————————–
VOW3.DE 0.00 21.00 31.38
IFX.DE 0.00 17.00 6.88
MRK.DE 36.00 0.00 32.31
cash 7949.22 7943.85 0.00
—————————————————————————–
cash-tc 7949.22 7873.27 0.00
Turnover: 5288.01 (49.93%)
—————————————————————————–
week 11: 0.96% (BTD +6.02%)
Recomputing portfolio vectors…
Itn LB UB error
—————————————————————————–
1 9.27032 11.00000 1.72968
2 9.27033 9.27033 0.00000
—————————————————————————–
V 9.27033 9.27098 0.00065
Result.
–= Portfolio Statistics =–
Symbol curAss lastVal curVal chg
—————————————————————————–
MRK.DE 19.00 1363.06 1380.35 1.27
VOW3.DE 10.00 1205.00 1289.00 6.97
cash 7932.31 7932.31 7932.31 0.00
—————————————————————————–
Total —- 10500.37 10601.66 0.96
–= Portfolio Changelog =–
Symbol curAss newAss tcosts
—————————————————————————–
MRK.DE 19.00 36.00 18.25
VOW3.DE 10.00 0.00 18.79
cash 7932.31 7986.26 0.00
—————————————————————————–
cash-tc 7932.31 7949.22 0.00
Turnover: 2524.05 (23.81%)
----------------------------------------------------------------------------- week 10: 0.34% (BTD +5.57%) (note: the difference to week 9 is due to transaction cost) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.26606 11.00000 1.73394 2 9.26609 9.26675 0.00066 3 9.26624 9.26638 0.00014 4 9.26623 9.26626 0.00004 ----------------------------------------------------------------------------- V 9.26623 9.26622 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- DB1.DE 3.00 126.36 130.77 3.49 CBK.DE 19.00 25.75 25.14 -2.36 DTE.DE 4.00 35.96 36.42 1.28 SDF.DE 3.00 114.73 117.10 2.07 VOW3.DE 6.00 694.20 723.00 4.15 cash 9524.89 9524.89 9524.89 0.00 ----------------------------------------------------------------------------- Total ---- 10521.89 10557.32 0.34 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- DB1.DE 3.00 0.00 7.21 CBK.DE 19.00 0.00 6.15 DTE.DE 4.00 0.00 6.26 SDF.DE 3.00 0.00 7.07 VOW3.DE 6.00 10.00 10.72 cash 9524.89 7989.26 0.00 MRK.DE 0.00 19.00 19.53 ----------------------------------------------------------------------------- cash-tc 9524.89 7932.31 0.00 Turnover: 2154.49 (20.41%)
----------------------------------------------------------------------------- week 9: -4.13% (BTD +5.67%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.21702 10.00000 0.78298 2 9.26192 9.26298 0.00106 3 9.26192 9.26192 0.00000 ----------------------------------------------------------------------------- V 9.26192 9.26192 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- DB1.DE 3.00 122.55 126.36 3.11 CBK.DE 19.00 29.35 25.75 -12.30 DTE.DE 4.00 37.07 35.96 -2.99 SDF.DE 3.00 122.90 114.73 -6.64 VOW3.DE 40.00 5074.00 4628.00 -8.79 cash 5636.32 5636.32 5636.32 0.00 ----------------------------------------------------------------------------- Total ---- 11022.19 10567.12 -4.13 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- DB1.DE 3.00 3.00 0.00 CBK.DE 19.00 19.00 0.00 DTE.DE 4.00 4.00 0.00 SDF.DE 3.00 3.00 0.00 VOW3.DE 40.00 6.00 45.24 cash 5636.32 9570.12 0.00 ----------------------------------------------------------------------------- cash-tc 5636.32 9524.89 0.00 Turnover: 3933.80 (37.23%)
----------------------------------------------------------------------------- week 8: -0.56% (BTD +10.22%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.14141 10.00000 0.85859 2 9.31010 9.32520 0.01511 3 9.31010 9.31010 0.00000 ----------------------------------------------------------------------------- V 9.31010 9.31010 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- DB1.DE 3.00 127.35 122.55 -3.77 CBK.DE 19.00 31.41 29.35 -6.53 DTE.DE 4.00 36.26 37.07 2.24 SDF.DE 3.00 136.80 122.90 -10.16 VOW3.DE 40.00 5116.00 5074.00 -0.82 cash 5636.32 5636.32 5636.32 0.00 ----------------------------------------------------------------------------- Total ---- 11084.14 11022.19 -0.56 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- DB1.DE 3.00 3.00 0.00 CBK.DE 19.00 19.00 0.00 DTE.DE 4.00 4.00 0.00 SDF.DE 3.00 3.00 0.00 VOW3.DE 40.00 40.00 0.00 cash 5636.32 5636.32 0.00 ----------------------------------------------------------------------------- cash-tc 5636.32 5636.32 0.00 Turnover: 0.00 (0.00%) ----------------------------------------------------------------------------- week 7: -0.07% (BTD +10.84%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.14692 10.00000 0.85308 2 9.31568 9.33080 0.01512 3 9.31568 9.31568 0.00000 ----------------------------------------------------------------------------- V 9.31568 9.31568 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- DB1.DE 3.00 121.97 127.35 4.42 CBK.DE 19.00 34.10 31.41 -7.91 DTE.DE 4.00 37.14 36.26 -2.39 SDF.DE 3.00 138.19 136.80 -1.01 VOW3.DE 40.00 5124.00 5116.00 -0.16 cash 5636.32 5636.32 5636.32 0.00 ----------------------------------------------------------------------------- Total ---- 11091.73 11084.14 -0.07 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- DB1.DE 3.00 3.00 0.00 CBK.DE 19.00 19.00 0.00 DTE.DE 4.00 4.00 0.00 SDF.DE 3.00 3.00 0.00 VOW3.DE 40.00 40.00 0.00 cash 5636.32 5636.32 0.00 ----------------------------------------------------------------------------- cash-tc 5636.32 5636.32 0.00 Turnover: 0.00 (0.00%) -----------------------------------------------------------------------------
week 6: +2.28% (BTD +10.99%)
Recomputing portfolio vectors...
Itn LB UB error
-----------------------------------------------------------------------------
1 9.14793 10.00000 0.85207
2 9.31634 9.33140 0.01506
3 9.31634 9.31634 0.00000
-----------------------------------------------------------------------------
V 9.31634 9.31634 0.00000
Result.
--= Portfolio Statistics =--
Symbol curAss lastVal curVal chg
-----------------------------------------------------------------------------
DB1.DE 3.00 123.30 121.97 -1.08
CBK.DE 19.00 33.42 34.10 2.05
DTE.DE 4.00 36.54 37.14 1.66
SDF.DE 3.00 141.21 138.19 -2.14
VOW3.DE 41.00 5002.00 5252.10 5.00
cash 5515.41 5515.41 5515.41 0.00
-----------------------------------------------------------------------------
Total ---- 10851.87 11098.91 2.28
--= Portfolio Changelog =--
Symbol curAss newAss tcosts
-----------------------------------------------------------------------------
DB1.DE 3.00 3.00 0.00
CBK.DE 19.00 19.00 0.00
DTE.DE 4.00 4.00 0.00
SDF.DE 3.00 3.00 0.00
VOW3.DE 41.00 40.00 7.18
cash 5515.41 5643.51 0.00
-----------------------------------------------------------------------------
cash-tc 5515.41 5636.32 0.00
Turnover: 128.10 (1.15%)
----------------------------------------------------------------------------- week 5: +5.13% (BTD +8.61%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 9.12541 10.00000 0.87459 2 9.29431 9.30945 0.01514 3 9.29431 9.29431 0.00000 ----------------------------------------------------------------------------- V 9.29431 9.29431 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- DB1.DE 3.00 123.30 123.30 0.00 CBK.DE 19.00 29.47 33.42 13.41 DTE.DE 4.00 37.56 36.54 -2.73 SDF.DE 3.00 128.95 141.21 9.50 VOW3.DE 44.00 4853.20 5368.00 10.61 cash 5158.97 5158.97 5158.97 0.00 ----------------------------------------------------------------------------- Total ---- 10331.45 10861.43 5.13 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- DB1.DE 3.00 3.00 0.00 CBK.DE 19.00 19.00 0.00 DTE.DE 4.00 4.00 0.00 SDF.DE 3.00 3.00 0.00 VOW3.DE 44.00 41.00 9.56 cash 5158.97 5524.97 0.00 ----------------------------------------------------------------------------- cash-tc 5158.97 5515.41 0.00 Turnover: 366.00 (3.37%) ----------------------------------------------------------------------------- week 4: +2.53% (BTD +3.45%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 6.86198 10.00000 3.13802 2 8.49813 10.00000 1.50187 3 8.63318 8.64277 0.00959 4 8.63318 8.63318 -0.00000 ----------------------------------------------------------------------------- V 8.63318 8.63318 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- DB1.DE 7.00 282.45 287.70 1.86 DTE.DE 4.00 37.32 37.56 0.64 SDF.DE 3.00 125.70 128.95 2.59 VOW3.DE 44.00 4606.80 4853.20 5.35 cash 5037.77 5037.77 5037.77 0.00 ----------------------------------------------------------------------------- Total ---- 10090.04 10345.19 2.53 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- DB1.DE 7.00 3.00 7.54 DTE.DE 4.00 4.00 0.00 SDF.DE 3.00 3.00 0.00 VOW3.DE 44.00 44.00 0.00 cash 5037.77 5172.70 0.00 CBK.DE 0.00 19.00 6.19 ----------------------------------------------------------------------------- cash-tc 5037.77 5158.97 0.00 Turnover: 193.87 (1.87%) ----------------------------------------------------------------------------- week 3: +8.05% (BTD +1.06%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 8.59645 10.00000 1.40355 2 8.60826 8.60835 0.00008 ----------------------------------------------------------------------------- V 8.60826 8.60840 0.00014 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- DB1.DE 7.00 257.85 282.45 9.54 SDF.DE 3.00 107.82 125.70 16.58 VOW3.DE 48.00 4315.20 5025.60 16.46 cash 4672.65 4672.65 4672.65 0.00 ----------------------------------------------------------------------------- Total ---- 9353.52 10106.40 8.05 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- DB1.DE 7.00 7.00 0.00 SDF.DE 3.00 3.00 0.00 VOW3.DE 48.00 44.00 10.09 cash 4672.65 5054.13 0.00 DTE.DE 0.00 4.00 6.27 ----------------------------------------------------------------------------- cash-tc 4672.65 5037.77 0.00 Turnover: 456.12 (4.51%) ----------------------------------------------------------------------------- week 2: -5.80% (BTD -5.80%) Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 6.45815 10.00000 3.54185 2 8.48843 10.00000 1.51157 3 8.53412 8.53519 0.00107 4 8.53412 8.53412 -0.00000 ----------------------------------------------------------------------------- V 8.53412 8.53412 -0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- SDF.DE 3.00 124.83 107.82 -13.63 VOW3.DE 48.00 4874.40 4315.20 -11.47 cash 4938.98 4938.98 4938.98 0.00 ----------------------------------------------------------------------------- Total ---- 9938.21 9362.00 -5.80 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- SDF.DE 3.00 3.00 0.00 VOW3.DE 48.00 48.00 0.00 cash 4938.98 4681.13 0.00 DB1.DE 0.00 7.00 8.48 ----------------------------------------------------------------------------- cash-tc 4938.98 4672.65 0.00 Turnover: 257.85 (2.75%) ----------------------------------------------------------------------------- week 1: Recomputing portfolio vectors... Itn LB UB error ----------------------------------------------------------------------------- 1 6.52047 11.00000 4.47953 2 8.55666 11.00000 2.44334 3 8.58895 8.59258 0.00363 4 8.58988 8.59172 0.00184 5 8.59061 8.59132 0.00071 6 8.59051 8.59058 0.00007 ----------------------------------------------------------------------------- V 8.59051 8.59051 0.00000 Result. --= Portfolio Statistics =-- Symbol curAss lastVal curVal chg ----------------------------------------------------------------------------- cash 10000.00 10000.00 10000.00 0.00 ----------------------------------------------------------------------------- Total ---- 10000.00 10000.00 0.00 --= Portfolio Changelog =-- Symbol curAss newAss tcosts ----------------------------------------------------------------------------- cash 10000.00 5000.77 0.00 SDF.DE 0.00 3.00 7.15 VOW3.DE 0.00 48.00 54.64 ----------------------------------------------------------------------------- cash-tc 10000.00 4938.98 0.00 Turnover: 4999.23 (49.99%)
