Interesting facts.
Don’t know how many trades these guys had during their 1.5 years real-time, but if it’s anything less than 300 trades, then I would not be surprised if some of the strategies eventually failed.
By the way, what would your analysis be of the R2G models?
Using the “Find” option of the R2G section, I ranked on “Return YTD” on the Performance tab and got the following YTD figures:
Out of 293 R2G models
46 models had a YTD%>= 10%
109 models had a YTD% between 0-9%
101 models had a YTD% between -10% and 0%
37 models had a YTD% < -10%
(Not sure if the above numbers include “graveyard” models and should still be added?)
So it looks as if 47% (138/293) of models had a negative return over the last 9 months?
I am specifically interested in the performance YTD since the last 9 months was a good test for true robustness.
One of the characteristics of a truly robust model is that the model can succeed during all kinds of market conditions, i.e. bull, bear, trending & non-trending markets.