Maximising performance part 2

To be a money master, you must first be a self-master - J.P Morgan

Thanks to an idea by rnr over at ASF, I decided to run some more simulations in my attempt to find a systematic method that will allow me to make gains similar to those at the higher end of the monte carlo range.

This time I ranked the stocks by their volatility (ATR(10)) and told TradeSim to give preference to the stocks with higher volatility. The results were less than flattering. Out of 50 runs, only 60% produced an annual return greater than the average from monte carlo. And only 4 (8%) produced gains which were significantly higher than average.

These results, unlike those produced by price ranking (see previous post), are inconclusive at best. In fact, if I were to run another 50 simulations, it could well be that the we could conclude that this method provides no edge over random selection.