I was curious how the 3-year forward test looked with that version. It did a little worse overall and less consistent:
That’s probably because there is less weight given to the age of the system, so it probably picked up more high-flying one-hit wonders. One shortfall I can see to this analysis in general is the relative leverage between the systems. This analysis is assuming 100% scaling for all, so you can end up with some pretty large positive and negative numbers (see the Q1 '20 numbers above). Something for @MatthewKlein to keep in mind when working on that new forward testing feature – include the ability to normalize the measured returns based on the average daily leverage.
Gary