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ASCAR
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Hi fellow trader , Also live on the GC but just over border. I use NT7 and into algo and discretionary as well Happy to swap experience and coffee.
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I find these type of studies very interesting but you also have to remember there is an overall bias in the markets . This study is too short. It needs tio be run over 40 years. I:confused: knew an institution that backtested a system ovet 10 years readjusting their prtfolios every month. it was so good they rushed to implement it. Guess what , Whooshka wipeoutt!!! They had too big a bet on one sector that was very volatile and their system looked at too long a time frame. So when the shakout came they got creamed. The quant kept his job and got promoted. Good work though, the monthly brakup needs more work.Look at the traders QAlmanac, they usually have studies like this on monthly returns