gbarber Veteran   Posts: 282 Joined: 12/30/2012 Location: Pearland, TX  User Profile | I am not very good with statistics but I'll throw in 2 cents anyway. I am looking at the set of results shown by Steve2: 1. The set of results shown is really good and reasonably consistent. Look at the CAR and the MDD. They vary by a small amount and the CAR stays above 100% for all the runs. The MDD is higher than I could stand but that comes with the very high CAR (I hope we can all agree that a CAR of > 100% is very high). 2. Note that the high variances in ending equity are all on the plus side. I suspect no one would complain about a gain greater than expected. The variance on the negative side are relatively small. 3. Note that there are several groups of ending equity numbers in which the the final equity does not change. I'll bet there were no closed trades on those days. 4. Note that each run deletes a day on the start side and adds a day on the ending side. Thus each subsequent run excludes one day of trades that were included in the previous run and includes one day of trades that were not included in the previous run. Thus it seems to me that there is no doubt that the results would be different by some amount. The amount should correlate with the trades that were excluded and included. Has anyone looked at those to see if there is correlation. Also remember that the equity curve reflects mark to market numbers so it is the value of the account at the end from the trades made and including the open positions value. 5. Note that the further into the future the runs go, the smaller the variation in ending equity becomes. That seems to indicate OV is predicting future results fairly well. [Edited by gbarber on 11/16/2014 9:25 PM] | |
