### Timely Portfolio: LSPM Examples

Josh I have sennt a mail to your gmail address. P… Chris - May 5, 2011Josh
I have sennt a mail to your gmail address. Please confirm that you have received it.

Josh I have sennt a mail to your gmail address. P… Chris - May 5, 2011Josh
I have sennt a mail to your gmail address. Please confirm that you have received it.

Timely Portfolio has been doing some interesting work with Ralph Vince’s Leverage Space Model via the LSPM R package. Here’s a short list of his most recent LSPM-related posts:
The Leverage Space Trading Model Bond Market as a Casino Game Part 1 Bond Market as a Casino Game Part 2 Slightly Different Use of Ralph Vince’s Leverage Space Trading Model Another Use of LSPM in Tactical Portfolio Allocation I encourage those of you who are interested in LSPM and/or R to check out his blog.

Unless I’m misreading, the announcement is of … Steve - Jun 4, 2011Unless I’m misreading, the announcement is of the launch of indices that could potentially underly ETFs, rather than the launch of ETFs themselves.
Steve, very good catch. Thanks!

PRESS RELEASE
The Leverage Space Portfolio (LSP) strategy seeks to maximize the probability of equity portfolio profitability by employing a risk-control process focused on capital preservation and drawdown management. Compared to a traditional buy-and-hold portfolio, an LSP-based portfolio aims for more consistent returns with lower risk.
The indexes, scheduled to be launched in the second half of 2011, can serve as the basis of both passive and active investment funds, including exchange-traded funds, mutual funds, and institutional accounts, around the world.

I will be attending Ralph Vince’s risk-opportunity analysis workshop in Houston this weekend. I’ll be in town Friday-Monday. Drop me a note if you’re in the area and would like to meet for coffee / drinks.

I will be attending Ralph Vince’s risk-opportunity analysis workshop in Tampa this weekend. Drop me a note if you’re in the area and would like to meet for coffee / drinks.

Josh Thank you for providing the LSPM package - I… Chris - Apr 2, 2011Josh
Thank you for providing the LSPM package - I would not have been able to experiment with using LSPM if I could not use the package. I would like to confirm two things:
the maxUnits function has not been built in to the LSPM package - correct? what should one do if using leverage is not an option.

When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ ([Max Loss]/f) being less than the margin of its respective instrument. For example, assume the required margin for an instrument is $500, f$ is $100, and $100,000 in equity. The optimal amount to trade is 1,000 shares ($100,000/$100). However, that would require $500,000 in equity, while you only have $100,000. What do you do?

Thanks for another great post Josh. I’ve looke… Ralph Vince - Jun 2, 2010Thanks for another great post Josh. I’ve looked at this at length. Remember – the way you are calculating probability of drawdown, RD, is on a sample and replacement basis where the probabilities associated at each T to the horizon are unchanged. Thus, if, say, a large loss is seen at time T = t, the probablity of seeing that same large loss, in succession (i.

I’ve shown several examples of how to use LSPM’s probDrawdown function as a constraint when optimizing a leverage space portfolio. Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdown. This post will investigate the function’s accuracy.
Calculation Notes:
To calculate the probability of drawdown, the function traverses all permutations of the events in your lsp object over the given horizon and sums the probability of each permutation that hits the drawdown constraint.

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