Recovery Factor - Consistent Results Between "In Sample" and "Out of Sample" data
If a system is robust, wouldn't it have similar Recovery Ratios between the "In Sample" and "Out of Sample" data?
dvdadie: If a system is robust, wouldn't it have similar Recovery Ratios between the "In Sample" and "Out of Sample" data?
Not really!
Drawdown can be different, both in value and duration at different times. The same can be said for the recovery.
The old adage applies — past performance is no guarantee of future results!
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