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Steve Mayo

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Joined: 10/11/2012
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Subject : RE: What A Difference A Day Makes
Posted : 6/22/2015 9:24 PM
Post #35137 - In reply to #35136

Don't see the attachment, and I get a little lost in the discussion without it, but consider two things: 1) Do you have "Allow Settings to Reduce" checked? Given share round-off, OV usually cannot do exactly 50% trades and that will often result in a lingering 50.01% trade blocking the next purchase if you don't have that box checked in the settings.

2) CAR is calculated from enddate and startdate equity, ignoring everything in-between. If you have a "funky" trade on either of those dates, or if they are just in the midst of drawdowns or draw-ups, it will throw the CAR way off. You really need to be using a better metric, say average daily return, to get a valid "experiment", but of course that means exporting all that data from OV. Alternatively, run one full-period export through the Monte Carlo tool on my site -- that will give you a better idea of how consistent (and thus how predictable) the return might be.
Deleting message 35137 : RE: What A Difference A Day Makes


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