GBA Workbench – Combined Random Instrument, Random Weighting Strategy

This algorithm is useful for helping to assess the potential validity of a strategy.

Your strategy is compared to a series of tests which select instrumnets on a purely random basis and also select portfolio weightings on a random basis. The example below compares the Momentum strategy with equal weighting to purely random instrument selection and weighting, based on the same portfolio rebalanced in each case on the same dates.

In the histograms, the strategy being benchmarked is represented by the thinnest of the blue bars.

Random9

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