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Lain

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Posts: 77

Joined: 10/11/2012

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Subject : RE: Monster Returns
Posted : 4/9/2014 7:40 AM
Post #29713 - In reply to #29709

Hi Ed,

For this run I was focused on max profit, so that's why the draw downs are bigger.
But with the MANY tools of OV. Those drawdowns could probably be reduced because I just started with a basic setup (these are all prebuilt Nirvana strategies, nothing from Strategy Lab), no trade filtering, no allocation adjustments for each strategy (all 100%), ect.

Reducing DD is probably what I'll look into next.

As for the mix. I selected the strategies the increased CAR in the overall portfolio. Anything that didn't increase CAR wasn't used.
So looking at what ended up being selected.

27 strategies total

22 Long
4 Both
1 Short

26 R strategies (16 different R strategies)
1 T1 strategy

7 SP
5 NAS
5 ELS
5 ETF0
1 R1K1
2 R1K2
1 R1K5
1 IG13


So looking at what ended up being selected, majority is Reversion to Mean (but a mixture of 16 different versions), majority is long (which always seemed to work best with Reversion to Mean), majority are liquid stocks (SP, NAS & ELS).


Lain
Deleting message 29713 : RE: Monster Returns


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