kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | The frequency distribution charts show the range of CAR, MAXDD, and Calmar returned by each of the 21 default EFs. (I should have never included the ending equity graphs...) There is no central tendency in nearly all of those frequency distribution graphs. So StdDev is useless. Mean and median are still valid. I believe my point remains valid. From day to day, EF performance is nearly random. Even after 730 days and hundreds (thousands?) of xacts, most EFs exhibit little consistency in CAR, MAXDD, or Calmar, If you get good results over a 2 year period, using a specific EF, starting on 10/5. you can't expect similar performance starting on 10/6. Hence all PW results have to be taken with a BIG grain of salt. I'm collecting data on 7+ year PW runs as I write this. Perhaps I'll start seeing consistency with a longer time horizon. Keith | |
