OmniVest Forum OmniVest Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


[Random Quote] -


Only Forum Moderators, Administrators, and the owner of this message may delete it.

 
Mark Holstius

Elite
50010010025
Posts: 744

Joined: 10/11/2012
Location: Sleepy Hollow, IL

User Profile
 
Subject : RE: Portfolio Wizard Results
Posted : 8/4/2014 6:45 AM
Post #32403 - In reply to #32386

Good morning Keith...

Yes, I've tried using all the Strategies but the research Steve & I have done points toward better results using fewer. We suspect it has to do with choosing between Strategies having only infinitesimal differences between the Evaluation Functions and we're trying to limit it to those Strategies that've shown good performance over long periods (robust?) so that a "bad" EF choice won't hurt too much.

We also don't like high MDD's (who does?), so that's another goal in our research. Here's an example of what can be done using these new Pro Tools along those lines.

This chart covers the same time period we used for all those tests in my previous post above: 2007 thru 2013. (chosen so that it includes the large correction and various market types and not just the bull market the past couple of years)

Note the MDD of only 10% during some pretty difficult years / reversals
all while doing a "walk forward" every month - and still getting > 50% / year:






Seeing as we're just getting started with these tools, they definitely look like a great addition to Omnivest!


Mark

[Edited by Mark Holstius on 8/4/2014 6:47 AM]

Attached file : Low drawdown.jpg (321KB - 1063 downloads)

Deleting message 32403 : RE: Portfolio Wizard Results


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.