Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | Just to complete the above static portfolio analysis, I compared the trade histories for the simulations starting on 10/1 and 10/2. There were 7,852 positions in the 10/2 simulation. For each position on 10/2, I attempted to find a match in the 10/1 trade history. First I considered a match to be true if Strategy, Symbol, Open Date, Close Date matched. This showed that there were 417 positions (5.3% of total) that did not match. While a small number could be attributed to the one day shift in starting dates, the vast majority of differences were due to account equity constraints where there was enough buying power to allow additional trade(s) to be taken. These seem to occur throughout the simulation date range. Next I considered a match to be true if Strategy, Symbol, Open Date, Close Date, and Share Quantity matched. This showed that there were 5,127 positions (65.2% of total) that didn't match. This of course was due to the difference in account values over the life of the two simulations. As you can see, it is not surprising to see potentially significant differences in ending equity between two static portfolio simulations using the same account settings and only a one day difference in the simulation range. I suspect the difference between dynamic portfolio simulations can potentially be greater since there is also opportunity for differences in enabled strategies during the simulation periods. So, I guess the lesson here is that it is good to do a sensitivity analysis around simulation date ranges to assess variability. I would expect that the more consistent the returns are over a simulation range the lower the variability would be. Thanks Keith for bringing this up. Next, I'm going to turn my static portfolio into a dynamic one, starting with a high number of enabled strategies (e.g., 20 of 23) and repeat the experiment. It will be interesting to see if the variability increases due to differences in selected strategies each period. I'll report back... Steve2 | |
