Rank performance vs. simulation

Research
1

Hello,

I am seeing significant difference in the annual return between ranking performance vs. simulation. Attached please see details:

Could you please help me understand what is causing the difference?

Regards,
Mukesh

Ranking Perf vs. Simulation.pdf (193 KB)

2

Set your Allow Holdings to be Rebought to Yes (big difference). Also, set your Fixed slippage to zero (it will help a little).