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If I may

instead of trying a period 1992 to present, work on a recent year;

In 1992, was there many qant around?, fast trading? were Central bank covering your asses?

what I mean is you try to compare the performance of a ferrari in 2020 against the speed of a roman charriot in a mud track in 10BC..

totally irrelevant IMHO;

I would dare saying testing anything before 2006 and expecting a relevance in 2021 is a folly;

Anyway:

then try to run and compare with 2011 as per Monsieur Skate; the 2019 crash?

how does your system behave and  handle the crash then the recovery ?

what about the yoyo period we have had since nov 2020 to now basically?

We are REALLY lucky to have many types of markets within the last 2 y..use these to your advantage

PS I noticed you have a 42% exposure during some of the longest bull market in history,

if not during that given period, when would your system get in ? A bad sign IMHO

also: std error: 1986636?????

what does the MC show?


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