Post #3865 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Oops, nevermind part of my last post.

I see the stats are calculated from 1985.
But if you do "Portfolio Values: Download daily portfolio values for all cycles of the focus variant."
the Daily Closing Portfolio Values evidently start at the S&P inception date, because the 19850201 value is 2543.246 instead of 10.

I fixed it in my spreadsheet by computing the daily returns and applying that to an inital $10 value.

There is a HUGE range of ending values, for the 20 different cycles.
Highest is $1,536,205 and lowest is $245,431.
CAGR from 18.2% to 13.7%

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