kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | I made 28 PW runs using settings of (100,1,5,4). The strategy universe was all the stock RTM strategies. All standard EFs were selected. Default account settings were used except for the simulation date range. The 28 runs each had a duration of 2 years. The start dates ran from 10/1/2012 - 10/28/2012. So what I was capturing was how single day shifts in the date range would effect PW results. I've attached two spreadsheets. They are the same except that one has a sheet capturing graphs of ending equity values, while the other captures graphs of frequency distribution for CAR, MAXDD, and Calmar for the 21 EFs. (I got carried away with pivot tables and my spreadsheet got to big to upload so I had to split it up...) I'm sure you guys will be able to draw your own conclusions (if you care), but here are some of my thoughts. 1) On the Summary sheet, I ranked the EFs based on CAR and Calmar. The rankings reflect how the EFs performed relative to each other over the 28 "competitions". This time EMA(C,7)/EMA(C,21) fared best. (Previously I posted a spreadsheet where LRS(5)-LRS(30) fared best, so no confirmation...) 2) The number of winning portfolios over a 2 year period vastly outnumbered the losing portfolios. You could hardly lose money with OV given a two year time horizon! 3) The Equity Graphs sheet shows the issue I'm concerned about. The results for all EFs display very wide swings in ending equity simply based on rebalance date. And it's not like all the graphs show peaks and valleys occurring at similar times. It really looks random to me. What would I expect? I would expect to see small variations based on start date, but since 728 of 730 calendar days were shared, the delta in return would be very muted. I.E. I would expect far more consistency from sample to sample. 4) The EF Graphs sheet shows the frequency distribution of CAR, MAXDD, and Calmar for each of the EFs over the 28 PW runs. I used 2.5% as the bin width for CAR and Calmar, and 1% for the MAXDD. (I started out picking custom bin widths for each graph, but decided there was value in sticking to the same bin values for all EFs. It shows the range of variation through the number of bars displayed on the graphs. More bars = more variation.) So what I was looking for on these graphs was central tendency. Did the EF provide reproducible results, or was it all just randomness? Was there a range of CAR values I could reasonably expect to see from an EF? Remember, these results are over 2 years of tradeing, and only vary because of the day the party began. What do I see? Mostly randomness. There are some graphs that show reproducibility, but for the most part I'm left with the feeling that an EFs performance metrics are effected as much by how lucky I am getting in on the "right" date. Maybe I spend two years and get poor results, or maybe I spend two years and get good results. Was it Monday of Thursday? 5) The EF Data sheet collects data from all the individual PW run result sheets and organizes the data by EF (versus date). I added min, max, mean, mode, and standard deviation stats for each EF. Again, these stats appear to reflect a lot of variability in PW performance IMO. I might be really happy or really disappointed after two years based on the day in October, 2012 I created my Dynamic Portfolio. That hardly seems like sound investing decision making. It feels more like playing the lottery. All that said, my expertise is not statistics. I've heard it said the "statistics is the art of creating unreliable facts from reliable data". So I could probably use some schooling on interpreting all the data I've collected. I am in the processing of collecting and analyzing data on custom RTM strategies and other simulation ranges. If I find something more hopeful I will share it. (I hope others will reciprocate.) Cheers Keith PS - spreadsheets are Excel 2010...  Attached file : EF Test - 28 days - Stock RTMs - EE Graphs.xlsx (304KB - 356 downloads) Attached file : EF Test - 28 days - Stock RTMs - EF Graphs.xlsx (443KB - 352 downloads) |
