The following four Sell rules have been added:
- NoDays>360: Insures that the position is re-synced every year at a minimum
- RankPos>xx: Lower ranked stocks are sold (and if still qualifying then rebought)
- PctFromHi<-xx: Stock prices that are trading a certain percentage below their high are sold. They may be rebought if still passing the Buy rules.
- GainPct>xx: Stocks that have gained a specific percentage are sold.They may be rebought if still passing the Buy rules.
Note: "xx" will not be disclosed for the time being.
The annualized return is 4.08%. The goal is for greater than 5%. The simulation backtest is shown below.
The average profit per closed trade is 3.91%, above the 3% goal.
The current sector allocation is shown below.
There are three years that present undesirable performance: 2007, 2012, and 2015. Although not a design goal that I had specified, I would like to improve these three time periods to make a more desirable hedge fund.
This is like trying to squeeze blood from a stone. That is all for tonight.