Duplicating a public live strategy

Research
1

Has anyone successfully duplicated a public live strategy, and gotten the same results?

I recently started playing with several of the public sims, attempted to replicate them.
So far I have not been able to replicate the same results.
Sometimes my copy performs better, sometimes worse, but always different.

Here is one example:
https://www.portfolio123.com/performance.jsp?portid=114055&jsChart=1

And my copy:
https://www.portfolio123.com/port_summary.jsp?portid=1681075

Since inception the returns are similar. If you look at the last two years, you can see that my copy has a significantly larger drawdown. I see similar results with every other sim I have tried to duplicate as well.

Thanks
Tony

2

One thing to note is that your rebalance points are different. You both have it for every 4 weeks but at different weeks. That one thing can make a significant deviation

3

Live strategies all used Compustat data prior to mid-2020 so if you run a simulation now (which uses FactSet data) and compare it to a live strategy that was in existence then, there will always be a significant difference between them prior to that point. After that point there will still be a few minor differences here and there because the data isn’t totally frozen in time. (FactSet’s data isn’t quite as point-in-time as we’d like it to be, though we do everything we can to make it that way.) Interesting that your simulations have larger drawdowns than the live strategies. I guess that shows that the simulations do not profit from any lookahead bias.

4

Thanks Yuval. That makes sense.

SentimentTrader, thanks for pointing that discrepancy out. I corrected it and it did change my sim but I still had a significantly larger draw down in the most recent two years.