So I tried the algorithm with the following tickers: "ETH", "BTC", "DASH", "XMR", "STRAT", "DGB", "DOGE", "STEEM", "XRP" (so one portfolio containing all of these). It seems that the algo performs worse than a uniform constant rebalanced portfolio. Check the image below. So as ashr mentioned this does not perform that well ...
So I tried the algorithm with the following tickers: "ETH", "BTC", "DASH", "XMR", "STRAT", "DGB", "DOGE", "STEEM", "XRP" (so one portfolio containing all of these). It seems that the algo performs worse than a uniform constant rebalanced portfolio. Check the image below. So as ashr mentioned this does not perform that well ...
http://imgur.com/A7YHKWH
Thank you for your time and effort. at least you tried....
Thank you so much
Sorry was busy last days, I'm looking at it right now!