Posted By: 2cents
I have a problem with EFrontier.c - 10/29/22 20:04
( @jcl : I know this may not be the right place and that maybe I should have posted a comment on the blog, but as far as I can remember I couldn't post pictures there )
I was trying the EFrontier.c script from the 2016 Repository and this was the result. Look at the X and Y scales.
I removed the 4 with negative mean (according to Heatmap.c) thinking it was up to that, and replaced them with SOYB. Based on what is written in the post I would have expected a value just under 11.87, the mean of SPY. Instead, no difference. The scale remained of the same order of magnitude.
At that point I remembered the last comment of the post (evidently valid suggestion, since the change appears in Heatmap.c), and I started messing with the X and Y values of plotBar and plotGraph.
Now the scales have more plausible values, w/ Frontier = 11.12
I did well?
I'm not deep in math, but it seems that now the "if (is (EXITRUN)) {}" block calculates the daily values, and that multiplying by 252 gives the annual values again. But I don't understand why, can someone explain it to me?
Yet the script is identical to that of the post, apart from PlotScale and PlotHeight1. Has Zorro changed the markowitz * functions over the years?
I was trying the EFrontier.c script from the 2016 Repository and this was the result. Look at the X and Y scales.
I removed the 4 with negative mean (according to Heatmap.c) thinking it was up to that, and replaced them with SOYB. Based on what is written in the post I would have expected a value just under 11.87, the mean of SPY. Instead, no difference. The scale remained of the same order of magnitude.
At that point I remembered the last comment of the post (evidently valid suggestion, since the change appears in Heatmap.c), and I started messing with the X and Y values of plotBar and plotGraph.
Now the scales have more plausible values, w/ Frontier = 11.12
I did well?
I'm not deep in math, but it seems that now the "if (is (EXITRUN)) {}" block calculates the daily values, and that multiplying by 252 gives the annual values again. But I don't understand why, can someone explain it to me?
Yet the script is identical to that of the post, apart from PlotScale and PlotHeight1. Has Zorro changed the markowitz * functions over the years?