Inconsistency of Sim over time

General
1

I have a sim that I last ran 6 months ago. I wanted to re-run to see recent performance so I made a copy and changed the Period to Max. Both sims had the same start date and universe (S&P 1500), yet the results, almost immediately, were quite different and I am trying to understand how this can be. Obviously nothing changed as far as the rules are concerned which seems to imply the data has changed but how can that be??

This is a short term, relatively high frequency, traditional (no AI) model. Here is a chart of the original:

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image941×607 116 KB

and here is the updated chart:

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image941×613 114 KB

Can anyone explain how/why the results are now so much worse despite having identical rules and universe?

Thanks

2

@portfoliologic Can you post the annual returns of each sim - it would be easier to see if there are certain years that changed.

3

Impossible to tell with these data. Just be aware that very few positions, very volatile stocks, portfolio simulation (instead of something like a rolling screen) => extreme sensitivity to rankings.

1 Like
4

Please provide URLs to the sims.