Adaptive closed loop investment decision engine

Abstract

An adaptive closed loop decision engine outputs actionable alerts regarding asset holdings and allocations to reduce investment volatility and improve returns over market and sector cycles without unnecessary trading activity. The decision engine performs a statistical analysis on pricing trends that generates threshold decision points for investing in or avoiding assets and for determining asset allocation weightings within a portfolio.

What is claimed is: 
     
         1 . A computer-implemented method of determining a state value of an asset comprising:
 utilizing a trend engine to:   (a) access a database to determine the price of the asset at intervals within a predetermined period;   (b) determine a weighted average of a long and short term moving average of the price of the asset;   (c) determine a first differential of the weighted average of the long and short term moving average of the price of the asset;   (d) determine the first differential of the weighted average of the long and short term moving averages of the price of the asset;   (d) compare the first differential of the weighted average of the long and short term moving averages of the price of the asset to a predetermined threshold value to determine if the first differential exceeds the threshold;   (e) determine a state value for the asset based upon whether the first differential of the weighted average of the long and short term moving averages of the price of the asset exceeds the threshold and wherein the state value is “in” indicating (1) that the asset should be purchased or held, or “out” indicating (2) that the asset should be sold; and   (f) provide an output of the state value.   
     
     
         2 . The method of  claim 1  further comprising utilizing historical data to determine an optimal threshold value corresponding to a maximized annual compounded growth rate. 
     
     
         3 . The method of  claim 1  further comprising requiring the first differential of the weighted average to fall below the predetermined threshold value on multiple instances within a predetermined stabilization period before changing the state value of the asset. 
     
     
         4 . The method of  claim 3  further comprising utilizing historical data to determine an optimal stabilization period corresponding to a maximized annual compounded growth rate. 
     
     
         5 . The method of  claim 1  further comprising using a weighting factor to weight the long and short term moving averages of the price of the asset. 
     
     
         6 . The method of  claim 5  further comprising utilizing historical data to determine an optimal weighting factor corresponding to a maximized annual compounded growth rate. 
     
     
         7 . A computer-implemented method of determining an allocation of assets within a portfolio of assets, comprising:
 a) selecting a pair of assets, A and B, to be compared:   b) determining the first differential SA of the weighted average of the long and short term moving average of the price of asset A;   c) determining the first differential SB of the weighted average of the long and short term moving average of the price of asset B;   d) determining a loop threshold value Z;   e) comparing SA to the sum of SB and Z;   f) if SA is greater than the sum of SB and Z, determining if increasing the amount of asset A relative to asset B in the portfolio results in a maximum value for compounded annual growth rate based upon historical data and, if so;   g) generating an output indicating that the amount of asset A in the portfolio should be increased relative to the amount of asset B held in the portfolio.   
     
     
         8 . The method of  claim 7  further comprising the step of utilizing historical data to determine an optimal loop threshold value Z corresponding to a maximized annual compounded growth rate. 
     
     
         9 . The method of  claim 7  further comprising requiring the first differential of the weighted average of asset A to exceed the sum of SB and Z on multiple instances within a predetermined stabilization period before generating a, output indicating that the amount of asset A in the portfolio should be increased relative to the amount of asset B held in the portfolio. 
     
     
         10 . The method of  claim 9  further comprising utilizing historical data to determine an optimal stabilization period corresponding to a maximized annual compounded growth rate.