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Steve2

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Subject : RE: 28 days of October - Part 2
Posted : 12/2/2014 6:39 PM
Post #34574 - In reply to #34570

Keith,

I don't think trying to force smaller trades will be that helpful. The experiment I did was just to confirm for myself that equity constraints introduce variability and that there is no way with a single simulation to get an accurate prediction of likely returns. You could do this by reducing strategy allocation percentages but that will also really drive down % Invested so returns will be low. While I suppose you could do this to compare portfolio performance, in the end you would need to crank allocations back up to achieve reasonable performance and that would reintroduce the equity constraint problem.

As Steve Mayo says, each equity curve is one data point and the only way to really get a feel for probable returns is to do a bunch of simulations and look at the distribution of the returns.

Steve
Deleting message 34574 : RE: 28 days of October - Part 2


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