/biz/ - Business & Finance

Anonymous Tue Jan 17 12:37:34 2023 No.53311475 [View]
File: 31 KB, 966x623, Capture.png [View same] [iqdb] [saucenao] [google]

I changed the bootstrap method from fully independent samples (I was also accidentally drawing without replacement) to circular block bootstrap.
Growth rate improved, because that was the objective of my optimization. Sharpe ratio and max drawdown are worse.

Old portfolio:
>34% QQQ, 8% EEM, 35% GLD, 23% SHY
New portfolio:
>54% QQQ, 6% EEM, 4% IWM, 20% VNQ, 13% GLD, 2% TLT
So, a far more aggressive portfolio.

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