Would refitting have helped? (out of sample)
walk_forwardWhether re-optimising an allocation would have helped: fit on the years before each date, hold on prices not yet seen, repeat, and compare with the portfolio held and with equal weights. Typical questions: 'Would an optimiser have beaten my portfolio?'; 'Test max-Sharpe out of sample on these funds.'; 'Does rebalancing to an optimised mix help?'. Limits: Only for that question; it is not for choosing weights and returns no allocation to hold. It does not recommend, predict or calculate tax.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| base | No | Currency code every figure is expressed in: USD, EUR, GBP, CAD… Default USD. | |
| tickers | Yes | The candidate holdings, 2 to 30. | |
| holdings | No | Optional: the portfolio actually held, {ticker: weight}, measured on the same span for comparison. | |
| objective | No | What each refit maximises or minimises: max_sharpe, min_variance, min_drawdown, min_cvar or max_quadratic_utility. | max_sharpe |
| step_months | No | Months each fitted mix is held. | |
| train_years | No | Years of history each refit sees. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| data | No | Where the prices came from and what was missing or repaired. | |
| _fence | Yes | What these figures are and are not: descriptive, no forecast, no advice. Repeat its sense when presenting the result. | |
| objective | No | What each refit optimised. | |
| fitted_window | No | First and last date of shared history. | |
| out_of_sample | No | start, end, n_refits, train_years, step_months, mean_turnover, verdict (one sentence on the record), limitations, tracks (per track: label, cagr, vol, sharpe, max_drawdown, nav), refits (date, turnover); or `unavailable` with the reason. |