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Steve2

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Subject : RE: What A Difference A Day Makes
Posted : 6/21/2015 10:03 PM
Post #35129 - In reply to #35128

Here's another data point. I'm putting together a similar ETF account although I'm only part way through creating it (it currently contains only 109 strategies). I just did some quick sims with Settlement Wait Days = 1 and the results for both the back test and forward test periods were actually slightly better than with Settlement Wait Days = 0.

So my guess is what you are seeing is due to volatility in performance introduced when one starts to vary account settings. So, I think we all need to do a Monte Carlo analysis on our completed ETF portfolios to determine the most likely expected performance.

Steve
Deleting message 35129 : RE: What A Difference A Day Makes


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