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21$-54 rollout data (equities, links)

Posted By: Daniel Murphy
Date: Thursday, 22 April 2010, at 8:34 p.m.

In Response To: 21$-54 rollout data (equities, links) (Nack Ballard)

I don't normally include absolute equities because it clutters up the page, distracting from analysis.

I can appreciate that, but thanks all the same for doing this once. All those numbers point to no obvious problem, but do, I think, help illustrate the uncertainties entailed (of which I know you are well aware, Nack), in trying to make sense out of bot data from many sources.

I'd like to see some discussion of Tim's idea of averaging absolute equities (from meaningful rollouts by world class bots?) instead of averaging relative equities, and wonder what difference it makes.

For these rollouts I get

((10k*0.177) + (46k*0.1368) + (10k*0.175) + (10k*0.176) + (10k*0.167) + (10k*0.165) + (103k*0.158) + (19k*0.152))/218k = 0.156

and

((10k*0.165) + (46k*0.1340) + (10k*0.137) + (10k*0.136) + (10k*0.140) + (10k*0.149) + (103k*0.143) + (19k*0.145))/218k = 0.143

For a relative difference of 0.013

which ... what do you get by averaging the relative equities, 0.015 or 0.017? That is, no difference, considering that the SD of the relative equity in the longest of the rollouts is ~0.002.

Calculations ignore the fact that the three rollouts with seed 2 ought to be identical (except for Jacoby factor) if they are indeed with the same seed.

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