Georg,
Your having brushed aside Florian’s comment, simply pointing out that the system to which he linked was different from the ones your showing now, is completely unacceptable and, whether you realize it or not (probably not), subjects the portfolio123 community, and by way of association, Portfolio123 as well, to ridicule (forum posts are not the only opinions expressed so don’t assume you truly know how you are perceived).
Florian is pointing out as politely as possible, that for all the backward-looking super-charts you post, you have shown no ability to actually deliver on anything when real money is invested. DMs have been around for seven years now and your track record is an embarrassment, which makes your recent amateur-hour cheap shot against the recent struggles of my Cherrypicking the Blue Chips model (which unlike anything you ever came out with, delivered a lot over a fair amount of time) all the more bizarre.
Portfolio123 delivers a lot of great tools, but tools misused can lead to horrible things (give a chain saw to a five-year old to see what I mean — oops, another kiddie table-type metaphor). If you want to build credibility, you really need to cease and desist from using 1/2/2000 as start dates in charts you show on the forum (even though p123 let’s you do it). Limit your publicly-shared backtests to one year and be humble — unless and until you can start to show some measure of out-of-sample success.
I strongly suggest that you remove all of the charts you posted in this thread. Talk instead about your ideas, why you think they’ll work, and invite the p123 community to follow along in real time as you publicly trace forward progress (post more DMs, and rather than hiding from their out-of-sample results, evaluate and discuss them, and learn from them as you go).
But whatever you ultimately decide to do or not do, please stop assuming you are generating favorable impressions by acting as if your demonstrated ability to predict the past has any meaning besides a cute game.
Sorry to be so blunt, and I know posts like this don’t thrill Marco who would prefer to see a more collegial tone on the forum, as would we all. The reality, however, is that quants have been getting raked over the coals harshly and frequently in recent years and it’s been getting worse, not better. (The physics envy article Jim found, at my prompting, was just an early shot across the bow.) To try as best I can to preserve Portfolio123’s reputation and branding, it really is important, albeit regrettable and unpleasant, to make it clear that what you are doing in this thread, and others like it, is not at all representative of good use of the powerful and extremely beneficial tools Portfolio123 works hard to provide.
If you like public discussion of results, focus instead on what you discuss re: riding coat tails on ETFs. That’s actually a good idea and seeing another post in that thread from somebody who took 8 hours to create a csv of holdings to upload (ouch!!!) prompted me to communicate to Marco and Yuval off line about the need to really get serious about licensing ETF constituents. That sort of task should be do-able in 8 seconds (or less), not 8 hours. But working in this way as best you can with the capabilities at hand right now (you can create constituent files much more quickly if you stop feeling compelled to max out on backtest length) would make for much more interesting, valuable and credible forum discussion — but even here, exercise self-discipline and aim for what’s likely to be real, not super charts. At least this, unlike your business-cycle work, can give bona fide o-o-s results without waiting for years to pass.