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Posts: 262

Joined: 8/19/2005
Location: Boulder, CO

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Subject : RE: Most and Least-Useful PortSim Alloc Methods
Posted : 8/30/2018 6:04 PM
Post #45288 - In reply to #45287


I don't disagree with the points you make AFTER your bold statement. But, I do disagree with your BOLD statement (which I assume is bold primarily to instigate a discussion). I think we differ in our view of what purpose is served by historical equity curve comparisons. I think %Equity PortSim examples are useful for comparison of potential trading approaches, strategies, etc. The PortSim results and equity curve smoothness provide a perspective for the next year or so regarding how a chosen set of strategies MIGHT work based on their historical performance. If over time my chosen method (combination of strategies, symbols, market states, etc) produces fantastic results, and I'm forced to apply discretion regarding trade size, then I'll deal with that problem. Of course I don't expect to see my trading account grow to billions. For me, that isn't the point of these equity curves. Rather, the point of posting them is for comparison of one approach vs. another for near-future application. In my case, I do not view them as reasonable expectations of what I'll be doing in 20, 10 or even 5 years.
Deleting message 45288 : RE: Most and Least-Useful PortSim Alloc Methods

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