Okay, so the last two posts should have already hinted at the graphs below as there was sufficient distribution data and correlation factors already given. This being said, profit and loss graphs are always a nice illustration so hopefully the next few graphs can assist with this.

Just a reminder on what the data actually represents: they present the gross aggregate return over 1000 day trading windows, which comes roughly in to 3.97 years in calendar duration.

The benchmark figures represent the return over the benchmark if you were to buy in on the first trading day and hold until the final trading day. The algo figures represent the trading strategy’s return over the 1000 day period net of any trading fees (a 1.9% bid-ask spread was used across all periods) plus any return over unallocated cash for the period. The cash return is based on the Fed’s overnight rate, accrued and paid out daily, this is also represented across the following graphs with the green value line (labelled the risk-free asset).

There are other limitations over the base data set and I will detail these explicitly further when the final set of articles come out. This momentum metric investigation originally began as a background illustration for the main article, however, it seems to have taken a momentum of its own…

Full Results History From 1954 to Present at (10k) calibration setting


Results History From 1954 to 1990 at (10k) calibration setting


Results History From 1991 to present at (10k) calibration setting


Results History From 1991 to present at (4k) calibration setting


Results History From 1991 to present at (3k) calibration setting


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