Which strategy is superior?
Hello, this is Nikkei OP Liar? the administrator. (Note: The original Japanese text says "こんにちは、管理人の日経OP売坊です。" which translates roughly to "Hello, I am Nikkei OP sell-off by the admin." A direct natural rendering: "Hello, I am Nikkei OP Selldor, the administrator.")
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Now, the theme this time isEvaluation method of strategies.
Let's compare which of the two strategies below was more effective.
A B
January 1.0 3.0
February 2.0 5.0
March 1.5 -2.0
April 1.5 -6.0
May 1.5 8.0
June 1.0 3.0
July 2.0 4.0
August 1.0 3.0
September 2.0 2.0
October 1.8 -2.0
November 1.2 -2.0
December 1.5 2.0
Total 18.0 18.0
Average 1.5 1.5
Maximum 2.0 8.0
Minimum 1.0 -6.0
Standard deviation 0.39 3.83
3sd 2.67 12.98
2sd 2.28 9.15
1sd 1.89 5.33
Average 1.50 1.50
▲1sd 1.11 -2.33
▲2sd 0.72 -6.15
▲3sd 0.33 -9.98
☆ The average of the strategies is 1.5% per month for both A and B.
☆ On the other hand, the volatility of returns is much lower for A.
☆ Looking at the 99% probability,
A ranges from 0.33% to 1.89%
B ranges from -9.98% to 12.98%
. The variability is much smaller for A.
Therefore, A can be considered superior.
Note) The above is personal opinion and aims only to improve financial literacy. It is not created for investment solicitation. Also, while the blog content is based on data from reliable sources, the administrator does not guarantee its accuracy. Actual investment decisions should be made at your own risk.
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