I haven’t tried it. Right now just putting a volume and market cap filter is good enough for the capital level I deal with.
As, if and when I get to a stage where liquidity becomes a major constraint, then will consider such framentation.
The more you restrict the universe the more you will constrain the returns.
Another point to remember is that such strategies can show good returns in a backtest but real life may not mimic the past exactly and with new situations coming in the future, the returns and maxDD can vary (reduce) significantly. Another point to understand is that personal experience tells me that people get really really scared when the drawdown starts going over 15%. So, when ou are looking at a strategy and see 40% CAGR and 30% drawdown, you might feel that this is great and I will stay put, but in reality very very few people will be able to stay put in a system when the portfolio falls more than 20%.
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