Learning zero-cost portfolio selection with pattern matching
Fig 6
Wealth gained close-to-close JSE OHLC data.
Comparison of the wealth gained from different methods when investing in (a) ANGJ and AGLJ (b) 10 stocks (c) 20 stocks (d) 30 stocks from the JSE OHLC close-close dataset. This does not account for price-impacts and frictions, nor for the need to approximate an expected close price just prior to market close as one solves for the portfolio controls, there will always be a difference between the controls solved for just prior to market close and those required once the market has closed and the official closing prices printed.