Is it possible to change the total return charts that compare system or backtest returns to benchmark returns to show the DIFFERENCE between the two curves instead of showing the two return lines? This would make it more obvious how the differences vary over time.
For example, something like the bottom chart instead of the top chart:
It would make it more clear how the returns differed over time. As this comparison shows, only the first year really had any difference in return. The latter three years were just treading water.
The ideal comparison line would be a straight line, showing constant improvement.
The market returned 45% in about 4 years, that’s a bull market. Just keeping up with a bull market is very good (just ask the hedge funds). And then throw in some periods of out-performance (u don’t need many) and you got yourself great returns (85% vs 45%).
Hmm. I think it’s misleading when it looks good, but hasn’t even held steady.
In other words, it’s NOT “keeping up with the bull market”. Look at the roller coaster ride after that first year.
Would it be that difficult to add the ability to toggle them? Or to overlay the difference line?
Worst comes to worst, I guess I can figure out some way to automate what I did to get the chart today – export the data and generate the chart in EXCEL.
