LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | I used 5 years of data, exported the Port Sim results, and then ran an Excel pivot table to see what I might learn. The list was the first 300 stocks from the Omniscan list: My goal is to whittle down the drawdown to 10% or less. It is not lost on me that once drawdown exceeds 7% the percentage needed to recover starts getting exponential. The other factors that I personally desire are the gut check numbers. It is exciting to see the huge gains but if the drawdown is over 20% I just know I won’t be able to sit still. (I’m too old for fireworks!) I want to see the Calmar ratio greater than one and the max consecutive losses is another psychological number. I don’t think I would have the confidence to sit through more than about 8 consecutive losses either. The first result from Excel is: Excel detail including the strategies: Armed with this information the strategy selections are adjusted to eliminate negative returns from the strategy selections for each state. The ROI went from 130% to 192% while the drawdown went from 22% down to 13.5% and the Calmar ratio went from 0.63 to 1.31. This is a good start and is just a simple analysis based on the Excel result. I’m sure there are a lot more possibilities. [Edited by LSJ on 3/15/2018 12:39 PM]  Attached file : Omniscan List.png (7KB - 2128 downloads) Attached file : Excel Xsuite Overview.png (6KB - 2126 downloads) Attached file : Excel Xsuite MiMa Strat.png (41KB - 2136 downloads) Attached file : Xsuite Port Sim.jpg (633KB - 498 downloads) Attached file : Xsuite Port Sim.jpg (113KB - 2016 downloads) |
