Then it shouldn’t be difficult to provide the ability to disable simulations permanently.
Is it an idea to have a separate rule for the microcap or smallcap strategies in the DM ?
The way they are tested now, with only a minimum rule for dollarvolume, they give a none realistic picture of performance, because as the portfolio rises in value, it will become increasingly more difficult to get in and out of the positions.
Why not have something like:PctAvgDailyTot(20) < 10 and price> 0.5
Here is a test on one of my smallcap strategies with: MedianDailyTot(91)>( 70* 1000) and price> 0.5:
This is the result with - PctAvgDailyTot(20) < 10 and price> 0.5 :
This shows that the strategy draws a lot from an illiquidity that cannot be exploited when the portfolio exceeds a certain size. In this case, the strategy must increase the number of positions.
@Whycliffes I think you are asking that DMs include a rule to adjust for higher and higher liquidity as capital grows. Is that right?
But it does not make sense for DMs.
First of all the starting capital is not known. DMs are just like indexes
Second, if I’m looking for a microcap model today , with my $50K, that has a good 20Y track record, why would I want one that has been is penalized for the simulated capital (which could be say $20M) ?
Obviously if I follow a microcap model for 10y, and my capital grows, I will have to shift capital to a different model.