kmcintyre![]() Elite ![]() ![]() ![]() ![]() ![]() ![]() ![]() Posts: 890 Joined: 10/11/2012 Location: Portland, OR ![]() | 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 |