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PSY Score Outperformance

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I couldn’t resist this quick technical post. I have posted before that we are trialling a virtual portfolio of the PsyQuation ecosystem, selecting accounts by their PsyQuation Score versus the more traditional Sharpe Ratio.

The table below shows how PSY Select strongly outperforms the Sharpe Select over the last 90 days we have been running this experiment.  I was further intrigued to see that the 2 portfolios have a correlation of only 26%.

 

For those of you who are more visual this chart plots the journey.

 

Expected Maximal Drawdown Global Market Moves