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jpb

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Posts: 168

Joined: 5/11/2005
Location: Brown Deer, WI

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/11/2020 3:50 PM
Post #46923 - In reply to #46919

Tom,

For grins I just ran another test. I hadn't flipped the short order. It didn't make a difference. Still scratching my head on that one as to why you see it and why I don't.

But, I also created a third method, this one I set the weight to 0. I deactivated the ranker in one of the other methods. And ran the test. This was to see if a weight of 0 was the same as disabling the ranker -- that would make sense but I hadn't thought of it that way.

First run: All three methods reported identical final equity. I've seen this before -- sometimes it takes 2 runs when you start OT and switch over to Port Sim, make changes and run a test. Once it has gone through a couple of runs, subsequent changes show up with just one Analysis Run.

Second run: The world started working as expected -- the ranker left active and with a weight reported a different final equity than the other 2 methods. The other 2 methods matched, proving a weight of 0 deactivates the ranker.

Thanks for setting me straight on the 0 weight. I'll have to take a look at my various methods and see if I've accidentally deactivated a ranker. You might have just given me a reason to do more testing (and please don't tell my wife! -- she thinks I spend way too much time researching).

Thanks,
Jeff B
Deleting message 46923 : RE: ATM and "Resilient Portfolio" in Omnifunds


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