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Since moving some backtests from Fred's PT over to the new
rotational mode of AB backtester, I've noticed some alarming
differences.
The readme file for recent AB betas notes that Padding is
optional in AB (but always takes place in PT). What surprised me was the
enormous difference in results I get by turning padding on/off.
In one test padding off gives CAR/MaxDD of
1.76
Same test padding on gives CAR/MaxDD of
4.95
Can someone explain just what the 'padding' option
does?
Steve
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