Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | Mark, sadly, I'm not setup to easily do this. The account analysis tool that rokfreek and I developed is setup to do quarterly analyses and not easily changed. Attached is the quarter by quarter performance comparison between the static and dynamic portfolios. This analysis is based on realized P/L and draw downs, not the MTM numbers you see from OV. The analysis is interesting. While the ending equity for the 6.5 year sim was much better for the dynamic portfolio, the quarterly analysis shows that this was due to the dynamic portfolio significantly outperforming the static portfolio is the first two years while not performing quite as well as the static portfolio in the last 4.5 years. I was hoping for consistently better performance throughout the simulation period. One factor may be the way trades were filtered out in the dynamic portfolio because it got to be significantly larger than the static portfolio ($1.1M vs $490K after year 2). So, I'll go back and do a set of one year sims through the date range which should provide a more realistic performance comparison. Stay tuned... Steve  Attached file : Static vs Dynamic Portfolio Stats 2008 - 2014.jpg (868KB - 222 downloads) |
