Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | For comparison purposes, I conducted a similar test for one of my static portfolios. The test was conducted using 6 year simulations. As you can see, the results vary more than you would think. Maximum variation in ending equity was 16%, maximum daily variation in ending equity was 8% with an average daily variation of 3%. However, the variations did seem to run in cycles. I haven't correlated these to the market movement in the starting and ending months but I'll try and do that. I also want to look at the trade histories for consecutive days and see how they changed from day-to-day. You would expect that starting and ending trades would change but I wonder how far differences in starting trades ripple through the sim. I still think the key thing to quantify for dynamic portfolios is how much the initial enabled strategies change over the 28 days. Different strategies will obviously produce different results. If there is significant change then the question is does that make sense given how each of the EFs are calculated. Steve2 [Edited by Steve2 on 11/16/2014 10:39 AM]  Attached file : Daily Sims of IB Live 3.jpg (581KB - 683 downloads) |
