A large part of my learning curve has been to use and look at other simulations and RS, like the ones Yuval and others have published. So I wanted to share the last one I’m working on. An all-caps, multifactor system.
This is a combination of the best nodes from the spreadsheet to Danp. (Thank you!) I hope anyone can use some part of it.
Its somewhat optimised for the last ten years, but on another universe, and it still seems to give some OK results for the Easy to Trade US over the whole sample and the out-of-sample 2001-2013 (50%).
Here is my European model based on the same approach:
I hope you can use it.
I did some more testing and changes to the US system.
I added the “Focus” RS and increased the turnover.
This has a high number of nodes. There are 115 active nodes in my system and 38 in the focus system. And some of the nodes in the two systems are identical.
The system has a turnover that is to high for me as an European investor, and I can’t use the IB-connection to automatically place the order.
The RS is not available for me, in case you’re trying to share it
Now it works — thanks for sharing!