Performance over historical time frames
Posted: Sun Feb 01, 2004 11:49 pm
I have been doing considerable historical testing with the various systems. What is interesting is the performance gets chopped away with every new time frame.
For instance for one of the systems, the periods of:
1970-1980 =CAGR OF 70%
1980-1990= CAGR OF 58%
1990-2003= CAGR OF 20%
i am certain this is no revelation for any of the testers here, but I did find it interesting. Also interesting is the drawdowns go up with every time frame.
Anyone have any reason why? What has influenced the markets to weaken the performance over these time frames? Program Trading?
For instance for one of the systems, the periods of:
1970-1980 =CAGR OF 70%
1980-1990= CAGR OF 58%
1990-2003= CAGR OF 20%
i am certain this is no revelation for any of the testers here, but I did find it interesting. Also interesting is the drawdowns go up with every time frame.
Anyone have any reason why? What has influenced the markets to weaken the performance over these time frames? Program Trading?