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kmcintyre

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Joined: 10/11/2012
Location: Portland, OR

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Subject : What to do about PB (and PW for that matter)
Posted : 11/11/2014 4:59 PM
Post #34466

I ran a test using PB. The portfolio universe included the DC trading pools. I used all the stock EFs and Account settings sans the simulation date range which I set to 1/1/2007 - 11/12/2014. The PB settings were (100,1,5,4).

The BEST result I saw was CAR of 49.6% with a MaxDD of 39.5% (CALMAR = 1.3).

1) I can't stand up to a 39.6% MaxDD. Way too rocky a road for me.

2) I have no confidence that the CAR EF that generated the best results will reproduce its top ranking given any small variation in the simulation date range. (More testing required.)

3) I know from ISS tests that OV has the potential for MUCH higher returns and MUCH higher CALMARs. (If only one could accurately predict which strategies to use in advance...)

4) I still have this feeling that PB (and PW) are automated dart throwing machines. I've collected a bit of data and it appears there are wild swings in performance that defy my idea of consistent performance. (More data analysis required...)

5) Perhaps the best thing PW/PB provides is walk-forward testing. But I need to have truly predictive and reliable EFs to make all this strategy and portfolio switching worthwhile.

It's been months and I'm no closer to having anything I'm willing to trade.

So is this as good as it gets?

Keith


Attached file : PB DC Trade Pools tabular.png (101KB - 333 downloads)
Attached file : PB DC Trade Pools graph.png (100KB - 337 downloads)

Deleting message 34466 : What to do about PB (and PW for that matter)


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