kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | So another idea (epiphany or brain fart) - If I want to increase consistency and overcome the wild swings in performance caused by rebalance day bias, (damn, that sounds technical), why not use multiple DPs, all using the same settings, strategy universe, and EF pool, but vary the rebalance date? So if I want to ensure I get closer to the mean return of 19.26%, run 28 DPs with start dates varying between the 1st and the 28th of the month. (Of course the side effect of avoiding the depressed returns is that I also eliminate hope of achieving the manic returns...) OK - 28 x 21 DPs (days x EFs) might be overkill. How much "diversification" might 30 or 40 DPs provide? Will PB and the existing Account level settings allow me to efficiently run multiple DPs, all chasing the same stocks with the same strategies? What would the commission impact be on using massively parallel DPs, all placing smaller bets? Also on the Todo list, what would be the benefit or throwing out the X EFs with the highest CV scores. What about throwing out the Y EFs with smallest mean CAR and/or Calmar? And eventually, can I find a more optimal set of Account settings, as demonstrated over a statistically significant sampling? And someday I hope to leverage the 700+ custom strategies that kicked ass during their day in the sun. But I need a filter to automate my strategy universe selection to make that happen. (Like the simple CAR sort previously requested...) Now if I can just get all this done before I die... Cheers Keith [Edited by kmcintyre on 11/30/2014 10:55 AM] | |
