Hi all,
After my recent attempts in generating indices, I've started comparing strategies to quantify to see how well they perform. However, I am a bit puzzled with results I'm getting and was hoping someone could help me understand it or point out what I might be doing wrong here.
4 strategies used and simmed with about the same amount of indices used.
1) Zen - True count method
2) REKO-F
3) UBZ2 - Modified 1: Indices were generated by myself via CVData. Numbers rounded (6D only, DD left as is) mildy
4) UBZ2 - Modified 2: Indices were generated by others. Numbers rounded moderately
I can't seem to comprehend Zen's under-performance to UBZ2 Modified 1 and REKO-F by big margins. Especially, when about the same amount of indices were used. Also, I am wondering if UBZ2 modified 1 performed well since its indices were round mildy and that its values are very close to the original generated numbers. Would this be correct?
DD
DD Comparison.pngDD Chart 2.jpg
6D
6D Comparison.png6D Chart 2.jpg
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