Steve2![]() Elite ![]() ![]() ![]() ![]() ![]() Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD ![]() | 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] |