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kmcintyre

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Subject : RE: 28 days of October
Posted : 11/16/2014 12:15 PM
Post #34495 - In reply to #34493

Steve2,

Good information and points. (Steve Mayo too!)

The better I understand the expected behaviors the easier it is to keep my head in adversity. And the more intelligently I can decide if I have the risk tolerance to play.

There are three experiments I want to try -
1) Run another 28 PW runs covering 10/1/2010 - 10/28/2012. Then see if the EF performance during those runs is predictive of the results I've already captured for 10/1/-2012 - 10/28/2014. So "is past EF performance predictive of future EF performance".

2) Run 7+ year PW runs starting 1/1/2007 - 1/28/2007. Do I see similar frequency distribution curves for EF CAR, MAXDD, and Calmar?

3) Run 28 simulations using ARM4 Margin, with starting dates between 10/1/2012 and 10/28/2012 - 2 year duration. Compare the stats against the ones I collected on EFs and see how ARM4 Margin compares.

That should only take a month or two...

Keith

Deleting message 34495 : RE: 28 days of October


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