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Steve2

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Subject : RE: What's your favorite risk-return measure?
Posted : 4/24/2014 1:54 PM
Post #30009 - In reply to #29721

Steve,

I have a slightly different way of looking at things. I value consistency of positive returns more than anything else. I believe that if a portfolio simulation can deliver positive returns over all periods of the simulation date range then it has a higher likelihood of delivering positive returns in the future (assuming your simulation period is long enough to cover many different market conditions).

To this end, I would like to see the following risk-return measure supported:

The user specifies a Period (number of calendar days or number of market days) and whether or not P/L calculations should be Realized or Unrealized.

The simulation date range is divided into Periods and for each Period a determination is made as to whether or not the Period is profitable.

A count is made of the number of losing Periods and the maximum number of consecutive losing Periods.

Portfolios are then ranked by:

1. Minimum number of losing Periods
2. Minimum number of consecutive losing Periods
3. Maximum CAR

Steve

[Edited by Steve2 on 4/24/2014 1:56 PM]

Deleting message 30009 : RE: What's your favorite risk-return measure?


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