The second article(from 1/2/18) I am reposting from other blog as noted in my last steemit blog post:
I was thinking a bit about the method being used and how I might adjust it. The concept of taking a basket of financial indices and sorting them based upon a set look back period (in this case 30 day % return) was a method popularized by Gary Antonacci. The method is called Dual Momentum and can be used to extract risk premia from a volatile risk asset. You can read the white paper here.
With standard financial assets a 12 month look back period was typically used. With crypto coins and their quickly moving market caps rank and rapid price moves I settled upon a 30 day look back. Over time this may not be optimum. The next element beyond look back period is how often you update the portfolio with new constituents. I am using a one month update just like standard dual momentum. I am thinking about shortening that period to a 2 week window. Maybe we become a bit more agile. Maybe.
So here is what I am going to do. Every other Friday i will run the scan and see what the system outputs. By cutting the potential holding period in half we might have a bit more turnover and be a bit more reactive to a terrible coin in the portfolio.
Again I want to stress this is all for a bit of fun. The method may highlight some good value/momentum candidates. It also might get whacked on a single coin or the whole lot could get crushed in a rush to the exits in a crypto coin exodus. For now let's just follow along and see if it provides any value.
Here is the original post where I outlined the portfolio construction.
Here is the [portfolio being tracked at altpocket.io. Tronix (TRX) Has gone up a lot since purchase a couple days ago. Verge (XVG) has been a laggard. So far as a whole the 5 holdings are positive.
I also created a twitter account for those that wish to get updates on posts and portfolio stuff. @_cryptoporticus
Until we meet again,
Dave
cryptoporticus!! Thank you, your Post.
Thank you. I hope you follow the updates I'll be posting in the future.
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http://www.dave-trades.com/the-dave-blog/some-thoughts-and-changes