Re: Source code & equity curve results of zany new betsizealgorithm

[MT <mtzianos@xxxxxxxxx>]

Mark Johnson wrote:
> Then I compared the new betsize algorithm to that old familiar
> standby, fixed fractional.  Ran them both and plotted their
> equity curves.
> 
> The source code I used, and the pair of plotted equity curves,
> are at  <http://traderclub.com/discus/messages/18/1431.html>
> 

Mark,

Thanks for the link and posting your research results.

You didn't specify the portfolio you used to run the PGO + ff/clb MM
strategies, but did any of you notice that the slope of the equity curve
of multi-market trend-following systems changes drastically after the
mid-90's ?

In Mark's example it happens in 1996, in most of my diversified
portfolios it changes after 94-95 -- so it seems that some markets that
used to be kind to trend-following strategies have changed in the 90s
and never returned to glory, atleast sofar. Despite the end of the
period of benign (to use John W Henry's characterisation) economy - a
period of low inflation and roaring stock markets. Maybe some
mega-trends are just around the corner?

Regards, M