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arXiv · 2109.13508

AMA-K: Aggressive Multi-Temporal Allocation An Algorithm for Aggressive Online Portfolio Selection

Matthew Kruger·Terence L. van Zyl·Andrew Paskaramoorthy
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Abstract

Online portfolio selection is an integral componentof wealth management. The fundamental undertaking is tomaximise returns while minimising risk given investor con-straints. We aim to examine and improve modern strategiesto generate higher returns in a variety of market conditions.By integrating simple data mining, optimisation techniques andmachine learning procedures, we aim to generate aggressive andconsistent high yield portfolios. This leads to a new methodologyof Pattern-Matching that may yield further advances in dynamicand competitive portfolio construction. The resulting strategiesoutperform a variety of benchmarks, when compared using Max-imum Drawdown, Annualised Percentage Yield and AnnualisedSharpe Ratio, that make use of similar approaches. The proposedstrategy returns showcase acceptable risk with high reward thatperforms well in a variety of market conditions. We concludethat our algorithm provides an improvement in searching foroptimal portfolios compared to existing methods.

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Matthew Kruger, Terence L. van Zyl, Andrew Paskaramoorthy. 2021-09-28. AMA-K: Aggressive Multi-Temporal Allocation An Algorithm for Aggressive Online Portfolio Selection. https://arxiv.org/abs/2109.13508

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