Changes to Playground portfolio.
The above chart shows the old Playground performance
As of tonight (2024-10-18), the internal weighting of the contributing strategies to Playground will be modified. It was always planned to do this on a periodic basis but since doing this changes the backward history, I have avoided doing this since Playground’s inception.
So lately I have been investigating different metrics that would be used to accomplish the re-weighting. Final candidates are the equity curve of each strategy or trailing returns or the Kelly fraction. Using trailing returns over the last year of trading on a internal strategy appear to give the best overall performance.
Going forward the system will adjust the weighting once per month using the last trading day to do this. This will allow for strategies that are not currently performing to get less of a say in the overall trading signals.
The old weights will be preserved in the history with the new weights only applied going forward.