I found several problems with it, but the biggest one is: System is better than me. In order to track under/over-performance I will create unfiltered index of Mega Dozen (MD Control): equal weight, 1 unit size with fractional shares count, no commissions or slippage, no dividends.
Second change I am making is moving re-balancing into mid month. End-to-beginning of the month period seems too common time frame and causing some whipsaw. I will record MD on 15th of every month. MD Control will sell on 16th, buy new on 17th, unless its a weekend (then use following business day). System 12 will continue to use standard PP (positioning period), following 15th of the month.
This is MD:
http://stockcharts.com/freecharts/candleglance.html?aapl,xom,goog,msft,ptr,brk/b,ge,jnj,wmt,wfc,rds/b,cvx|B|P5,3,3
MD Control is slightly under-weather.
WFC ready to go, JNJ close
AAPL, XOM (30b), GOOG (30a), good, but earnings coming up on 27-30th
RDS good, not sure when earnings. Year end in Dec., results published in March?
BRK annual report in Feb-March?
WMT 2/20b
This is SD:
http://stockcharts.com/freecharts/candleglance.html?HSBC,JPM,PG,IBM,PFE,CHL,NVS,VOD,TM,AMZN,BAC,T|B|P5,3,3
NVS,VOD, AMZN (30), BAC, HSBC, JPM, PFE (28)
HSBC annual report in Feb?
Hunting season is open.
http://stockcharts.com/freecharts/candleglance.html?WFC,RDS/b,AAPL,XOM,GOOG,HSBC,JPM,BAC,NVS,VOD,AMZN,PFE|B|P5,3,3
See, I can write whole post without curse...
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