Example 18 – Portfolio Management

NOTE: In NeuroShell Trader, open the chart named “Example 18 – Portfolio Management” which is the basis for following example:

NeuroShell has some powerful portfolio management capabilities when you make use of the indicators in the Chart Page Indicators category. We will explore just one of the many possibilities in this example.

In our portfolio management example we will build a portfolio trading strategy based upon the RSI indicator, but obviously any indicator or neural net prediction signal could be used instead. The idea is that the trading strategy buys stocks in the chart that have the lowest RSI values, and sells those same stocks when the RSI is no longer among the lowest in the chart.

For such a determination we use the indicator Chart Page Lower Rank. As an exercise, unhide the Chart Page Lower rank in the chart. Then insert the 10 period RSI of the close as well. If you inspect the portfolio view you will see that a stock has a rank of 1 whenever the RSI is the lowest of all stocks in the portfolio. Therefore if we buy whenever the Chart Page Lower Rank is <2, which we did, we will be buying the stock when its RSI is the lowest of all in the chart. Note that if we had used rank<3 we would be buying two stocks at once. Try that as an exercise.

Our exit condition is simple too. We exit when the rank is >3, in other words when at least three stocks have higher rank (lower RSIs). As another exercise, see what happens when the exit rank criterion is changed.

For costs, we used a fixed dollar amount of each stock, and assumed commissions of $10 each trade.

If you examine the Position indicator in the portfolio view you will see that on average there are one to three stocks in a long position at any given time. By the way, a quick way to switch between chart pages is to click on the symbol you want in teh portfolio view.

To top everything off, we used the chart page sum indicator to sum the equity curves of all stocks. As you can see the portfolio, even though long only, did well in the bear markets.

It should be noted that there are several other Chart Page indicators that can be used in place of the Lower rank, like the Percentile for instance. Examine them in the portfolio view to gain a better understanding of what they do.

Was this article helpful?

Related Articles