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[USER=57364]@Skate[/USER] I don't actually agree that you can compare the annual return the way you have done here. I am sure I have mentioned this before. If you are using a fixed position size I also assume you are using fixed number of positions. So what happens is the equity grows but your exposure gets less and less over the years. The exposure figure shows this effect also.For the fixed position size run, at the end of your test the equity is 370k but you will only invest 100k.To see what I mean do a run say for the years 2020 and 2021 as single year runs. The annual return will show as a lot larger because you are fully investing.I understand that compounding is unrealistic, but the longer term fixed sizes are as well.
[USER=57364]@Skate[/USER] I don't actually agree that you can compare the annual return the way you have done here. I am sure I have mentioned this before. If you are using a fixed position size I also assume you are using fixed number of positions. So what happens is the equity grows but your exposure gets less and less over the years. The exposure figure shows this effect also.
For the fixed position size run, at the end of your test the equity is 370k but you will only invest 100k.
To see what I mean do a run say for the years 2020 and 2021 as single year runs. The annual return will show as a lot larger because you are fully investing.
I understand that compounding is unrealistic, but the longer term fixed sizes are as well.
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