Stock Price = $10.

00
Net Buys/Sells 1.00
1.00
investor A
1.00
investor B
1.00
investor C

Step
25%
25%
50%
25%

$20,000
A portfolio

B portfolio C portfolio

$9.77

$10.04

$10.52

$10.65

$10.71

$10.70

$10.82

$11.00

$11.22

-0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

-1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

Stock Price

$18,000

Note: Investor A Buys every month.

Investor B Buys (Sells) when the price goes Above (Below) the MA.
$16.00 Investor C Buys (Sells) when the price goes Below (Above) the MA.
monthly investment =
$10
$14.00
25% of investors are type-A
a=
1.00%
$12.00 50% of investors are type-B
b=
50%
$10.00 25% of investors are type-C
Annual:
Monthly
0.50%
Mean
=
6%
$8.00
5.77%
SD =
20%
$6.00
months
Investor B: MA Months Back
3
$4.00
months
Investor C: MA Months Back
7
Note:
$2.00
Monthly Returns are calculated according to:
$0.00
a*(Net Buy/Sells)+b*(Random Return with prescribed Annual Mean /SD
Example:
for C
25% 1% of Net Buys/Sells + 50% of Random Returns with Mean = 6% SD = 20%
$18.00

$16,000
$14,000
$12,000
$10,000
$8,000
$6,000
$4,000
$2,000

$20.00

25% A, 50% B, 25% C

$0

for B
Best percentage A
Best percentage B
Best percentage C
B Moving Average
C moving average

25%
75%
0%
4
6

25%
50%
8
2

Press F9 to see the portfolios

See:

http://home.golden.net/~pjponzo/Nash-3.htm

Count =
0
1
month =
1
2
A shares 1000
1001.02
$$ in stock $10,000 $9,784
$$ in cash
$0
$0
total $10,000 $9,784

2
3
1002.02
$10,062
$0
$10,062

3
4
1002.97
$10,550
$0
$10,550

4
5
1003.91
$10,692
$0
$10,692

5
6
1004.84
$10,763
$0
$10,763

6
7
1005.78
$10,757
$0
$10,757

7
8
1006.70
$10,892
$0
$10,892

8
9
1007.61
$11,087
$0
$11,087

9
10
1008.50
$11,319
$0
$11,319

B shares 1000
$$ in stock $10,000
$$ in cash
$0
total $10,000

0.00
$0
$9,784
$9,784

975.27
$9,794
$0
$9,794

976.22
$10,268
$0
$10,268

977.16
$10,407
$0
$10,407

978.09
$10,477
$0
$10,477

979.03
$10,471
$0
$10,471

979.95
$10,603
$0
$10,603

980.86
$10,793
$0
$10,793

981.75
$11,019
$0
$11,019

C shares 1000
$$ in stock $10,000
$$ in cash
$0
total $10,000

0.00
$0
$9,784
$9,784

0.00
$0
$9,794
$9,794

0.00
$0
$9,804
$9,804

0.00
$0
$9,814
$9,814

0.00
$0
$9,824
$9,824

0.00
$0
$9,834
$9,834

0.00
$0
$9,844
$9,844

0.00
$0
$9,854
$9,854

0.00
$0
$9,864
$9,864

$11.29

$11.63

$11.42

$10.84

$11.04

$11.40

$11.53

$11.30

$10.80

$11.25

$11.97

$12.11

0.50

0.50

0.50

0.00

0.00

0.50

0.50

0.00

0.00

0.50

0.50

0.50

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

-1.00
1.00

-1.00
1.00

1.00
-1.00

1.00
-1.00

-1.00
1.00

-1.00
1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

25% A, 50% B, 25% C

A portfolio B portfolio C portfolio Stock Price
step
2

bed Annual Mean /SD

Mean = 6% SD = 20%

o/Nash-3.htm
10
11
1009.39
$11,399
$0
$11,399

11
12
1010.25
$11,750
$0
$11,750

12
13
1011.12
$11,543
$0
$11,543

13
14
1012.04
$10,974
$0
$10,974

14
15
1012.95
$11,187
$0
$11,187

15
16
1013.83
$11,555
$0
$11,555

16
17
1014.70
$11,696
$0
$11,696

17
18
1015.58
$11,479
$0
$11,479

18
19
1016.51
$10,979
$0
$10,979

19
20
1017.39
$11,450
$0
$11,450

20
21
1018.23
$12,190
$0
$12,190

21
22
1019.05
$12,344
$0
$12,344

982.64
$11,097
$0
$11,097

983.50
$11,439
$0
$11,439

984.37
$11,238
$0
$11,238

0.00
$0
$10,684
$10,684

0.00
$0
$10,694
$10,694

939.21
$10,704
$0
$10,704

940.08
$10,836
$0
$10,836

0.00
$0
$10,636
$10,636

0.00
$0
$10,646
$10,646

946.80
$10,656
$0
$10,656

947.64
$11,345
$0
$11,345

948.46
$11,489
$0
$11,489

0.00
$0
$9,874
$9,874

0.00
$0
$9,884
$9,884

0.00
$0
$9,894
$9,894

913.32
$9,904
$0
$9,904

914.22
$10,096
$0
$10,096

0.00
$0
$10,430
$10,430

0.00
$0
$10,440
$10,440

924.48
$10,450
$0
$10,450

925.41
$9,995
$0
$9,995

0.00
$0
$10,425
$10,425

0.00
$0
$10,435
$10,435

0.00
$0
$10,445
$10,445

$12.42

$12.53

$12.44

$12.70

$12.61

$13.40

$14.08

$15.25

$15.63

$15.50

$14.92

$14.79

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

22
23
1019.86
$12,670
$0
$12,670

23
24
1020.66
$12,789
$0
$12,789

24
25
1021.46
$12,705
$0
$12,705

25
26
1022.25
$12,986
$0
$12,986

26
27
1023.04
$12,902
$0
$12,902

27
28
1023.79
$13,724
$0
$13,724

28
29
1024.50
$14,424
$0
$14,424

29
30
1025.15
$15,631
$0
$15,631

30
31
1025.79
$16,034
$0
$16,034

31
32
1026.44
$15,908
$0
$15,908

32
33
1027.11
$15,325
$0
$15,325

33
34
1027.79
$15,206
$0
$15,206

949.27
$11,793
$0
$11,793

950.07
$11,905
$0
$11,905

950.87
$11,827
$0
$11,827

951.66
$12,090
$0
$12,090

952.45
$12,011
$0
$12,011

953.20
$12,778
$0
$12,778

953.91
$13,430
$0
$13,430

954.56
$14,555
$0
$14,555

955.20
$14,930
$0
$14,930

955.85
$14,814
$0
$14,814

956.52
$14,272
$0
$14,272

957.19
$14,161
$0
$14,161

0.00
$0
$10,455
$10,455

0.00
$0
$10,465
$10,465

0.00
$0
$10,475
$10,475

0.00
$0
$10,485
$10,485

0.00
$0
$10,495
$10,495

0.00
$0
$10,505
$10,505

0.00
$0
$10,515
$10,515

0.00
$0
$10,525
$10,525

0.00
$0
$10,535
$10,535

0.00
$0
$10,545
$10,545

0.00
$0
$10,555
$10,555

0.00
$0
$10,565
$10,565

$15.22

$15.61

$15.64

$15.41

$15.37

$15.68

$15.69

$16.18

$16.47

$16.13

$16.75

$17.84

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

0.50

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

1.00
-1.00

34
35
1028.44
$15,654
$0
$15,654

35
36
1029.08
$16,065
$0
$16,065

36
37
1029.72
$16,106
$0
$16,106

37
38
1030.37
$15,882
$0
$15,882

38
39
1031.02
$15,847
$0
$15,847

39
40
1031.66
$16,179
$0
$16,179

40
41
1032.30
$16,198
$0
$16,198

41
42
1032.91
$16,712
$0
$16,712

42
43
1033.52
$17,018
$0
$17,018

43
44
1034.14
$16,679
$0
$16,679

44
45
1034.74
$17,334
$0
$17,334

45
46
1035.30
$18,469
$0
$18,469

957.85
$14,579
$0
$14,579

958.49
$14,963
$0
$14,963

959.13
$15,001
$0
$15,001

959.78
$14,793
$0
$14,793

960.43
$14,762
$0
$14,762

961.07
$15,072
$0
$15,072

961.70
$15,090
$0
$15,090

962.32
$15,570
$0
$15,570

962.93
$15,855
$0
$15,855

963.55
$15,540
$0
$15,540

964.15
$16,152
$0
$16,152

964.71
$17,210
$0
$17,210

0.00
$0
$10,575
$10,575

0.00
$0
$10,585
$10,585

0.00
$0
$10,595
$10,595

0.00
$0
$10,605
$10,605

0.00
$0
$10,615
$10,615

0.00
$0
$10,625
$10,625

0.00
$0
$10,635
$10,635

0.00
$0
$10,645
$10,645

0.00
$0
$10,655
$10,655

0.00
$0
$10,665
$10,665

0.00
$0
$10,675
$10,675

0.00
$0
$10,685
$10,685

$17.55

$17.48

$16.67

$16.95

$16.34

0.50

0.50

0.00

0.00

0.00

1.00

1.00

1.00

1.00

1.00

1.00
-1.00

1.00
-1.00

-1.00
1.00

-1.00
1.00

-1.00
1.00

46
47
1035.87
$18,182
$0
$18,182

47
48
1036.44
$18,115
$0
$18,115

48
49
1037.04
$17,286
$0
$17,286

49
50
1037.63
$17,588
$0
$17,588

50
51
1038.24
$16,960
$0
$16,960

965.28
$16,943
$0
$16,943

965.85
$16,881
$0
$16,881

0.00
$0
$16,109
$16,109

0.00
$0
$16,119
$16,119

0.00
$0
$16,129
$16,129

0.00
$0
$10,695
$10,695

0.00
$0
$10,705
$10,705

642.84
$10,715
$0
$10,715

643.43
$10,906
$0
$10,906

644.05
$10,521
$0
$10,521