Why did some monthly past perf %'s change on Mod. Risk Port after 8/1 update?

Home Forums Logical Invest Forum Why did some monthly past perf %'s change on Mod. Risk Port after 8/1 update?

This topic contains 1 reply, has 2 voices, and was last updated by  Alexander Horn 2 weeks, 3 days ago.

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  • #68370

    robininni
    Participant

    Specifically, June 2016 went from 5.5% to 5.9%, February 2018 went from 0.0% to -1.0%, March 2018 went from -1.6% to -1.4%, April 2018 went from 2.0% to 1.7%, May 2018 went from 1.6% to 1.3%, August 2018 went from 3.4% to 3.6%, November 2018 went from 2.2% to 2.0%, January 2019 went from 2.5% to 2.7%, and February 2019 went from 0.0% to 0.1%.

    Is this due to some tweaking of the algorithm right before the 8/1/19 holding update? It isn’t very significant changes but it does make me wonder, if this sort of thing happens a lot, how much different the returns would have been along the way over the years following the program if there are lots of changes in the program along the way.

    #68451

    Alexander Horn
    Keymaster

    We had to update the constituents of the Nasdaq and Dow 30 strategy, so this affects the stocks which are available for QuantTrader to pick in the ranking. Sadly in the case of some stock symbol changes, mergers and acquisitions this affects the whole history, as historic data is not available anymore.

    We’re working on a historic “snapshot” of the portfolio performance to minimize the effect of such symbol changes.

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