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kmcintyre

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

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Subject : RE: 28 days of October
Posted : 11/15/2014 1:08 PM
Post #34490 - In reply to #34489

SteveM,

The initial goal of my spreadsheet was to ascertain which EFs are "best", where "best" means more consistently generate higher CAR and/or Calmar values. Hence my attempt to rank EF performance over many competitions, then ranking the individual rankings.

I did a similar test that ranked EFs based on 24 competitions, where each competition lasted 1 year, and the start dates shifted by 1 month. This was a follow-up.

I added all the frequency distribution charts because I saw that EF performance varied significantly from day to day. And my results from this experiment failed to confirm my previous experiment.

I added the equity curve graphs as icing because I thought more people could relate to ending equity.

So when you ask for equity curves from my top 3 EFs over a 7 year period, I have to ask "based on which day of the week?". Because I haven't seen any consistency in EF performance. No EF has floated to the top as the top performer. EF performance seems more random that reliable IMO.

I'm happy to collect data on all EFs based on a 7 year simulation period. But for sure (and to Steve2's post) a significant number of 7 year simulations will be required to determine the average performance of each EF.

I could vary start date by a day, or a month. (I've done both.) Or weekly. Or 15 days. Or quarterly. Which would you prefer?

I *KNOW* OV is capable of generating obscene returns. The key is to predict which strategy combinations to use with reasonable accuracy. Prediction is hard, but it is the key to OV success IMO. And I just don't see evidence that the current EFs are sufficiently accurate at prediction.

Keith

Deleting message 34490 : RE: 28 days of October


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