This is a very vast and open ended project that is going to continue for a long time. As and when I get new ideas and plans, I am going to implement them.
A broad idea is to create a well balanced multi-asset portfolio which generates significant alpha. Risk minimisation is another aspect that is going to be facotred in. Many measures and stress tests are going to be taken care of before this comes to a final form. Ultimately, a robust portfolio allocation program/system will be the final product/result of this project.
Biggest concern of any investor is that how much capital should be allocated to which assets. Basically how should they be able to diversify their protfolio wo that it performs eternally. This project will be addressing that issue.
Portfolio with HURST EXPONENT - ('EURUSD', 0.48), ('GBPUSD', 0.23), ('USDCAD', 0.28), ('USDJPY', 0.0)
Expected annual return: 12.41%
Annual volatility: 9.89%
Sharpe ratio: 1.05
Portfolio with STANDARD DEVIATION Strategy - ('EURUSD', 0.10), ('GBPUSD', 0.13), ('USDCAD', 0.51), ('USDJPY',0.24)
Expected annual return of STANDARD DEVIATION: 7.91%
Annual volatility of STANDARD DEVIATION: 2.65%
Sharpe ratio of STANDARD DEVIATION: 2.23
Portfolio with ROC Strategy - ('EURUSD', 0.23), ('GBPUSD', 0.17), ('USDCAD', 0.26), ('USDJPY', 0.32)
Expected annual return of ROC: 14.48%
Annual volatility of ROC: 2.88%
Sharpe ratio of ROC: 4.34
Portfolio with SMA DEVIATION Strategy - ('EURUSD', 0.23), ('GBPUSD', 0.19), ('USDCAD', 0.2), ('USDJPY', 0.35)
Expected annual return of SMA DEVIATION: 4.55%
Annual volatility of SMA DEVIATION: 3.27%
Sharpe ratio of SMA DEVIATION: 0.78
Portfolio with PSAR Strategy - ('EURUSD', 0.09), ('GBPUSD', 0.14), ('USDCAD', 0.38), ('USDJPY', 0.38)
Expected annual return of PSAR: 12.52%
Annual volatility of PSAR: 3.37%
Sharpe ratio of PSAR: 3.12
This tells us that 3 individual strategies portfolios (Standard Deviation, ROC , PSAR) are outperforming the multi-strategy portfolio based on HURST EXPONENT on the basis of SHARPE(fitness in layman terms).
While 2 strategies portfolios (ROC , PSAR) are outperforming the multi-strategy portfolio based on HURST EXPONENT on the basis of RETURN