Under performance when using Optimal F on single instrument

S K Rahman

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Sep 12, 2013, 3:32:17 PM9/12/13

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Hello,

I have a small question, not sure if it has been addressed else where.

While tinkering around I decided to use to test TWR output using Optimal F on our local index daily return. The resultant geometric average is 1.000324522 with DD of 78.5%, this is a severe under performance against buy and hold on same instrument, which has geometric average of 1.000498226 and DD 59.86% .

Am I missing something?

Thanks..!

Joshua Ulrich

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Sep 13, 2013, 9:28:58 AM9/13/13

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It's really hard to say anything definitive with what little
information you've provided. A lot depends on how you calculated the
joint probability table, and what parameters you used in the
optimization.

Best,
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com

Brady Preston

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Sep 13, 2013, 9:42:09 AM9/13/13

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Are you using the index as a single component?

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