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kmcintyre

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Location: Portland, OR

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Subject : RE: What to do about PB (and PW for that matter)
Posted : 11/12/2014 11:39 AM
Post #34468 - In reply to #34467

Gary,

I appreciate your post, but I went down the path you are on half a year ago. (I posted many spreadsheets documenting exactly where I found all the good bananas to save others time and effort. Search "monkey business"...)

I've ran extensive tests using the best of the 750+ custom strategies I built. I tried using simulation periods covering 7+ years, and shorter periods that matched the market segments used when building the custom strategies. And two years, and one year, and 3 months...

I've automated the ISS process and ran tests to determine what the potential returns were using the custom strategies and market segments previously mentioned.

My conclusion was (and is) that EFs aren't sufficiently predictive and/or the ECA process robust enough, to achieve high return/low drawdown performance on a consistent basis.

Yes, I have found combinations of strategies and EFs that perform well given specific account settings. But those "winners" fall apart with small changes in the simulation period. And they are the result of dart throwing on my part. PW didn't find the magic beans hidden in the bag of muggle beans...

I'll continue to collect data and gain knowledge. And it may well be that I'm just too stupid or lazy or fearful to achieve success with OV.

But one thing seems clear to me. PW doesn't automate the task of building great portfolios. Rather, IMO, it has added more complexity and mystery and variation.

Is this as good as it gets?

Keith



Deleting message 34468 : RE: What to do about PB (and PW for that matter)


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