It's all wrong, friends. - page 7
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going beyond the 3 RMSE is a sign of a bad system or a dying system if it appeared on the right.
I agree, only it depends on the size of the window in which the RMS is counted.and the mean. If one takes all data and requires equity to fluctuate in a fixed channel y=ax+b with a width of 3SCO, then this amounts to assuming memory in successive trades, i.e. autocorrelation and going back to that straight line. If we assume that the trades are independent, then it is correct to assume 3SCO bluntly from the last value, and practically what matters is the size of the recalculation window of MO and RMS. In fact, period of Bollinger bands.
The comparison of equity obtained for one instrument (red line) and for the portfolio consisting of 100 instruments (blue line) and 10 instruments (right line) looks like this:
It should be recognized that the initial non Gaussian distribution of the TC balance curve increments does not impair the quality of portfolio diversification at all.
This is very strong, thank you, Neutron. By the way, even 10 instruments are enough: the curve is quite decent.
But this, of course, is not the only way to build a portfolio.
P.S.
Well, perhaps non-correlation is enough.