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Jim Dean

Posts: 3022

Joined: 9/21/2006
Location: L'ville, GA

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Subject : RE: Most and Least-Useful PortSim Alloc Methods
Posted : 8/30/2018 8:07 PM
Post #45292 - In reply to #45291

Here’s a challenge to the “thinkers and try-ers” in the group.

The next time you decide to run some PortSim tests to determine which strategies are best, or to fine tune parameters - *do it twice*.

The first time, use the good ole %Equity method with compounding.

The second time, run the tests the same way but using Fixed $ allocation. Maybe start with a bit more money (to avoid killing the account early on) - maybe $200k instead of $100k - but this is not essential.

Then, separately evaluate the tests to see which strategies / methods / parameter-values bubble to the top and appear to be “the best”.

I am sure that in many cases, the answers will be DIFFERENT.

In those cases, my point is that the “right choice” - the one that is most likely to hold up well in future trading - will be the one based on non-compounded fixed $ allocation.

[Edited by Jim Dean on 8/30/2018 8:09 PM]

Deleting message 45292 : RE: Most and Least-Useful PortSim Alloc Methods

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