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OmniVest User Forums OmniVest Pro Tools Beta EF monkey business		Last Activity 10/7/2016 12:00 PM 0 replies, 742 viewings

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kmcintyre

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Posts: 890

Joined: 10/11/2012
Location: Portland, OR

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Subject : EF monkey business
Posted : 10/30/2014 9:19 PM
Post #34388

I performed a little test that I thought I'd share.

I started with an Account with all default settings. I only changed the simulation date range. I ran 24 PW runs. Each run used (100,1,5,4) for the Analysis page settings. The strategy universe included all the stock RTM strategies. All stock EFs were used.

Each run covered 12 months. The total overall test period was from 11/1/2011 - 10/1/2014. (I plan on doing this again using a 2 year simulation period and shifting the start date on a daily basis from the 1st through the 28th...)

I ranked CAR and CALMAR for each 12 month "competition" individually. Then I summed the individual rankings from the 24 "competitions". Finally I ranked the overall performance of each EF as evaluated by CAR and CALMAR.

I hope I can post the xlsx file. (Excel 2010...) I bet others could slice and dice the data in interesting ways. (I plan on doing more with it too.)

Hope this helps.

Cheers

Keith

Attached file : Summary sheet.png (64KB - 249 downloads)

Attached file : Single run sheet example.png (118KB - 230 downloads)

Attached file : EF Test - Stock RTMs.xlsx (73KB - 232 downloads)

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