Trading Strategy Program Related

• Ticker Symbols and Associated Asset Time Series: (series # or symbol - Manual select in Reference Sheet)
  Symbols and time series data for risky assets
       "Reference Sheet"
       "Asset Browser Sheet"
       "CoVariance Analysis Sheet"

• Start Date & End Date: (mm/dd/yy date - Auto default or Manual override in Asset Browser, CoVariance Analysis, and Dynamic Optimal Sheets)
  Beginning and end dates of Asset Price Histories. The auto default for the Asset Browser sheet is either the values used in the prior time series plotting or if RESET is invoked, the first and last sample dates of the time series. The auto default for the CoVariance Analysis and Dynamic Optimal Portfolio sheets is the smallest common date range across all the asset time series.
       "Asset Browser Sheet"
       "CoVariance Analysis Sheet"
       "Dynamic Optimal Portfolio Sheet"

• Trading Period Length: (# business days - default or input in Dynamic Optimal Sheet)
  Time length between trades. "5" means 5 business days (eqv 7 calendar days). The length value also affects the sampling frequency for Asset Browser calculations and plotting. Trading Period Length values <5 and a large number of assets in the portfolio may be computationally challenging depending on the platform.
       "Asset Browser Sheet"
       "CoVariance Analysis Sheet"
       "Dynamic Optimal Portfolio Sheet"

• Training Period Length: (# Trading Periods - default or input in Dynamic Optimal Sheet)
  A rolling window of the number of days (Training Period * Trading Period Length) of returns used to estimate the covariance matrix. Its value impacts the first trade date. Smaller windows ( < 8 periods) may incur trading intervals where the returns of the asset time series are correlated closely, resulting in a collapse of the covariance matrix.
       "Dynamic Optimal Portfolio Sheet"

• Risk Free Return: (annual % - default or input in Dynamic Optimal Sheet)
  Fixed return rate for the riskless asset vector of the portfolio.
       "CoVariance Analysis Sheet"
       "Dynamic Optimal Portfolio Sheet"

• Max Asset Weight Limit Value and Enable Setting: (5% to 200% guideline - default or input in Dynamic Optimal Sheet)
  Maximum CAPM trading weight constraint for any asset. If the associated box is checked, the program does not put any other asset into the portfolio whenever the absolute value of any one weight exceeds Max Weight.
       "Dynamic Optimal Portfolio Sheet"

• Stop Loss Portfolio Limit Value and Enable Setting: (0 to 1 - default or input in Dynamic Optimal Sheet)
  Stop further trading when portfolio value declines below this value provided the associated box is checked.
       "Dynamic Optimal Portfolio Sheet"

• Fixed Adjusted Desired Return: (>0% - default or input in Dynamic Optimal Sheet)
  If it is activated, the program will determine the portfolio weight vector with minimum variance which has the Fixed Adjusted Desired Return as its expected return.
       "Dynamic Optimal Portfolio Sheet"

• Bad Market(BM) Adjusted Return: (select - default or select in Dynamic Optimal Sheet)
  If the associated box is checked, based on the selection, the program determines the portfolio weight vector with minimum variance which has the Fixed Adjusted Desired Return as its expected return or the vector which has the maximum expected return for the given variance. This is a requirement as we shall we on the reference page, under bad market conditions CAPM process can yield portfolio returns below the Risk Free Return.
       "Dynamic Optimal Portfolio Sheet"

Trading Strategy Program Returns

• End Portfolio Value: By design the initial value of the program is $1. This value represents the final value of the portfolio after the trading.
• Volatility: This is the standard deviation of the portfolio values over the trading period.
• Sharpe Quotient: The Sharpe Ratio is a direct measure of reward-to-risk. A negative value may indicate a problem in the CAPM optimization result.
       "Optimal Portfolio Value Chart Sheet"