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21

I was curious how the 3-year forward test looked with that version. It did a little worse overall and less consistent:

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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

22

If the average annual return of the strategies you tested is 18.09% and the S&P 500 returned 9.67% per year during that same period of time then the difference is 87.07%, not the 8.43% you posted.

23

Can you please explain where you got the 87.07% from? I was thinking maybe you are referring to the difference in the total 3-year return, but I come up with 63.00% - 24.36% = 38.64%.

Gary

24

coincides with (18.09 - 9.67)/9.67 :wink:

1 Like
25

That’s one way to look at it…it makes for a better headline!

26

If bank A gives you 2% a year (on your deposit) but bank B gives you 4%, the difference is 100%, not 2%.
You are making 100% more money with bank B.