kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | It took a while, but I collected PW/EF performance results over a 7.75 year simulation range. The Account settings were all "stock" sans the simulation period. The start date was incremented from 1/1/2007 to 1/28/2007. The end date was incremented from 10/1/2014 - 10/28/2014. The strategy universe consisted of the "stock" (archived) RTM strategies. All "stock" EFs were selected. The PW settings were (100,1,5,4). I'm attaching the Excel 2010 spreadsheet(s) containing the raw data and descriptive statistics I felt pertinent. (I'm sure some of you will be able to slice and dice the data in interesting ways if you care to.) Some observations - 1) Over 7.75 years, the mean CAGR for all EFs, over 588 runs, was 19.26%. That beat the heck out of the $SPX which generated 4.18% sans margin. Even at 200% margin, PW was a clear winner. None of the PW/EF runs lost money over 7.75 years. 2) The best performance over the 7,75 year simulation span was $961,954. The worst performance was $107,729. Quite a range... 3) The Summary sheet collects a lot of data on each EF. (Hide columns to simplify if you wish.) Column Z contains the Coefficient of Variation for Ending Equity. The higher the number, the more dispersion in ending equity. (Remember, the only reason for dispersion is the date in January, 2007 when the lever was pulled...) 4) I could have emphasized the variation in ending equity by graphing profits only. (Subtracting the $100K investment...) 5) The top ranked EF did not repeat from the simulations ran between 10/1/2012 and 10/1/2014. (The original test.) Nor did it match the winning EF from my "101 vs 25" test. Consistency is elusive. 6) The frequency distribution graphs of CAR for the various EFs seem a bit less random. I need to dig deeper, but I believe the graphs will be valuable in picking EFs. 7) Using "(c-c[20])/(GetClose("SPY")-GetClose("SPY")[20])" I might have made $31,499 or $767,846 in profits, over 7.75 years, solely based on which day in January, 2007 I pulled the slot machine lever. 8) Using "-1*CHP(14)" I might have made $15,685 or $315,431 based solely on being lucky. 9) Etc. I want more consistency. Cheers Keith  Attached file : EF Test - 7 year - 28 days - Stock RTMs.xlsx (525KB - 340 downloads) |
