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Jim A
 Regular
  Posts: 65
Joined: 10/11/2012
Location: International Falls, MN 56649
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I ran Portfolio Builder with a simulation period of 2/13/14 to 2/13/16. I then changed the sim period to 2/13/2008 to 2/13/2014. No other settings were changed. The change in the results were completely different. I expected the results to change but not this dramatic. Strategies selected went from 39 to 4.
Any ideas whats going on?
Attached file : DISPLAY 10 YR SIM 2 YR.png (145KB - 337 downloads)
Attached file : DISPLAY 10 YR SIM 08-14.png (141KB - 321 downloads)
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Steve Mayo
 Legend
    Posts: 414
Joined: 10/11/2012
Location: Austin, TX
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Assuming you are using "Filter, Rank & Combine" mode, port builder runs an optimization where it does what's called "Iterative Strategy Selection" (ISS). That is an optimization process that is highly dependent on the starting point, so moving even a day forward/backward can make a difference...moving 6 years would certainly give you vastly different results.
[Edited by Steve Mayo on 2/13/2016 10:17 PM]
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Jim A
 Regular
  Posts: 65
Joined: 10/11/2012
Location: International Falls, MN 56649
User Profile |
Thanks for the reply Steve. I used Filter Only with the same settings as shown in the attached screen shot. I haven't experimented very much with Filter, Rank & Combine. Do you have a preference?
Attached file : Method Settings.png (172KB - 334 downloads)
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Steve Mayo
 Legend
    Posts: 414
Joined: 10/11/2012
Location: Austin, TX
User Profile |
Hi Jim,
I've been really busy with the "real" job lately and haven't done much experimenting at all, beyond the beta testing I did while it was in development.
Looks like you are over-filtering. Try backing down on the Calmar filter.
Steve
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BrianD
 Legend
   Posts: 302
Joined: 2/23/2013
Location: Grand Rapids, MI
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Jim: May be hard to get CALMAR over 2.0 during time period from 2008. You might to work from a personal pain level at % MDD as a threshold instead?
I suspect your # of strats output dropped because of things like RTM based Strats like volatility, Trending perform better during constant state. From 2008, there has been extremes of both.
Nice thing about OV backtesting. - had quite a few distinct market states over last 10-15 years, so you can get an opportunity to review how different strat types perform in varying markets.
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Jim A
 Regular
  Posts: 65
Joined: 10/11/2012
Location: International Falls, MN 56649
User Profile |
Thanks Brian and Steve!
Good points, I appreciate your feedback.
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