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@GaryAntonacci @alphaarchitect But 12M underperformed 10M over the 10 years. Worse, the Sharpes are statistically indistinguishable. You’re seeing pattern in noise, Gary.
And even if I did buy that 12 mo is supported as superior by 800 years of data, nobody has that long to let things play out.
And even if I did buy that 12 mo is supported as superior by 800 years of data, nobody has that long to let things play out.
@GaryAntonacci @alphaarchitect 800 years of data is only relevant if you show me that 12M is superior over the vast majority of rolling 30-year periods.
Otherwise, you’re asking an investor to cross their fingers that they get a lucky draw.
Otherwise, you’re asking an investor to cross their fingers that they get a lucky draw.
@GaryAntonacci @alphaarchitect But my suspicion is that 800 years of data supports trend following broadly and that the actual differences between the different specifications are statistically meaningless.
