/biz/ - Business & Finance

Anonymous Mon Jun 22 07:04:57 2020 No.19857279 [View]
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Look at this algorithm.
Portfolio selection, no shorting.
Blue line is if I had a crystal ball back in 2008 and had to pick a single portfolio of ETFs to hold until 2016.3. It picks a mix of XLK (tech) and TLT.

The red line (under the green line) converges towards the best solution as it gets more data. By 2014 it has figured out XLK+TLT, but by then it's lost 40% of it's starting. It got lost in the middle with XLE (energy).

The other lines are some mix between Red and a uniform distribution between the ETFs.

The search for the true crystal ball continues.

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