Any out-of-sample results for more than a year?

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    Dear Frank, Alex and co.

    I came across LI and initially it looked very impressive, but then I noticed that you keep tweaking and changing strategies. Having strategies that work well ex-post is not difficult at all. Ex-ante is a totally different ball game and I see no evidence you’re playing it well. Moreover, I see evidence to the contrary. I’ve installed QuantTrader323S in order to test Morpheus strategy. And I see that not only Morpheus didn’t work out-of-sample since 2017, but NONE of your strategies worked! They ALL had Sharpe of 0.5 or lower over the last 2 years. Of course you kept tweaking them since 2017, but who are you fooling? All your current backtests and strategies are ex-post and can’t be relied upon as predictors of future returns whatsoever.

    I’ll be happy to consider any evidence that my understanding so far is incorrect. Can you show any out-of-sample results with good performance for more than a year?

    Valentin Zhigulin, PhD, CFA



    As a new subscriber, I’m interested in a reply on this.


    Frank Grossmann

    I am not sure about the Morpheus strategy as this is a strategy developed by one of our users, but we do out of sample backtesting of strategies if they have enough historical data. Here is a short article describing OOS with our UIS strategy:


    Frank Grossmann

    By the way strategies are never a static thing which can be made once and then is valid forever. Going forward it is extremely important that you adapt to changes in the market environment while keeping the character of the strategy. All our main strategies still do the same like at the beginning. The biggest change was that we tried to give the strategies more possibilities to hedge. In the past we relied only on Treasuries what was a good choice for a long time, however with rising rates and more and more interventions of the Fed and the Governement we had to broaden our choice of hedging assets. You will always have the situation that something what worked for long times in the past does not work anymore. Then our approach is to do changes to the strategy so that it works as good as possible in the past and and also under this new market conditions. This way you have a high chance, that it will also work in the future. The goal is, that we try to learn and not to do investment errors again. A normal investor normally makes investment errors over and over again. They lost big percentages of their money during every severe market correction but still I guess they are mostly 100% long the stock market and have already totally forgotten the correction of end 2018.




    as a side question of this thread.
    ie. let’s take a specific strategy, ie. NAS100

    Given the new nature of this service, could you kindly let me know exactly what is the OOS month that is intaken in the Performance report as “start of OOS period”?

    So, starting from which month have you started to produce “fresh new signals” from the model /algorythm, and what period instead is taken as “in-sample” backtest?

    This question is also necessary given no algorytmh detail is reported, therefore nothing can be infered about how the rotation mechanism really works at each month on the Nasdaq100…..



    Hi Frank,

    I definitely agree that improving the algorithms as market conditions evolve is a good thing. I’d propose you publish two additional things:

    a) Per strategy change log: You’ve been publishing (some) changes in the blog but it would be good to have this in a complete and structured form, including creation date of strategy –> pre-creation date time periods would be in sample

    b) Realisable results: Aggregate result of different versions of strategy always forward looking post change, i.e. assuming strategy creation t=0 years, period of n=2 years, one change after m=1 years. Aggregate results would be time weighted return of initial strategy between 0 & 1 years and of changed strategy between 1 & 2 years. This would be the result an investor would have realised would he have followed the strategy from the beginning onwards.

    This would then also allow for a comparison between optimised and realisable results.




    Good suggestion Marcel. I would be very interested in this as well.



    Me too!! thx



    I’m interested in the reply to this post.

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