CIMI Favorite Strategies

I applied David Brodwin's "Using Excel for Optimizing Blended Strategies" approach pdf to the strategy lists David, Homer, Matt, PaulP, Ren, and Scott sent me. (David (D) for example uses 'S398','SB029','SB041'.). Instead of Excel, I used python's scipy.optimize.minimize routine (as per David's (and Don's) suggestion). I ran it for several different timeframes, with and without the MaxDD <= 10 constraint The results summary is in the table below. Note that I get the same results in python as David got in Excel [0.02, 0.72, 0.27]. But note how much the allocation skews when I extend an extra 8 months. Ren's strategy lists give a mar of 15 for the 2022-12-30,2024-12-31 case, but the 2022-12-30,2025-08-29 timeframe did not converge (error was "Optimization failed to converge for all initializations"), so I put zeros for the value. Below the table are the Equity curves in plotly for all the cases. Since it is plotly, you can click on the labels to make the curve disappear.

Name Begin End Portfolio Optimal Weights Mean Return CAGR MaxDD MAR
0 David 2022-12-30 2024-12-31 [S398, SB029, SB041] [0.00, 0.00, 1.00] 0.087877 1.494273 0.175171 8.530371
1 David 2022-12-30 2024-12-31 [S398, SB029, SB041] [0.02, 0.72, 0.27] 0.034292 0.470197 0.100000 4.701966
2 David 2022-12-30 2025-08-29 [S398, SB029, SB041] [0.56, 0.00, 0.44] 0.036056 0.497685 0.117971 4.218703
3 David 2022-12-30 2025-08-29 [S398, SB029, SB041] [0.73, 0.00, 0.27] 0.027766 0.375543 0.100000 3.755431
4 David 1994-12-30 2025-04-30 [S398, SB029, SB041] [0.19, 0.35, 0.45] 0.034757 0.441836 0.191052 2.312645
5 David 1994-12-30 2025-04-30 [S398, SB029, SB041] 0 0.000000 0.000000 0.000000 0.000000
6 David 2020-08-31 2025-08-29 [S398, SB029, SB041] [0.43, 0.00, 0.57] 0.034954 0.448937 0.178805 2.510763
7 David 2020-08-31 2025-08-29 [S398, SB029, SB041] 0 0.000000 0.000000 0.000000 0.000000
8 Homer 2022-12-30 2024-12-31 [SB014, SB016, SB017, SB018, SB047] [0.37, 0.20, 0.00, 0.00, 0.44] 0.068481 1.094257 0.097684 11.201962
9 Homer 2022-12-30 2024-12-31 [SB014, SB016, SB017, SB018, SB047] [0.41, 0.20, 0.00, 0.00, 0.39] 0.069266 1.112759 0.100000 11.127586
10 Homer 2022-12-30 2025-08-29 [SB014, SB016, SB017, SB018, SB047] [0.00, 1.00, 0.00, 0.00, 0.00] 0.035701 0.481570 0.160495 3.000533
11 Homer 2022-12-30 2025-08-29 [SB014, SB016, SB017, SB018, SB047] 0 0.000000 0.000000 0.000000 0.000000
12 Homer 1994-12-30 2025-04-30 [SB014, SB016, SB017, SB018, SB047] [0.66, 0.00, 0.24, 0.00, 0.11] 0.053790 0.718065 0.301608 2.380789
13 Homer 1994-12-30 2025-04-30 [SB014, SB016, SB017, SB018, SB047] 0 0.000000 0.000000 0.000000 0.000000
14 Homer 2020-08-31 2025-08-29 [SB014, SB016, SB017, SB018, SB047] [0.00, 1.00, 0.00, 0.00, 0.00] 0.028295 0.358435 0.160495 2.233314
15 Homer 2020-08-31 2025-08-29 [SB014, SB016, SB017, SB018, SB047] 0 0.000000 0.000000 0.000000 0.000000
16 Matt1 2022-12-30 2024-12-31 [S398, SE030, SE137, SE145, SE172, SE182] [0.00, 0.81, 0.00, 0.00, 0.19, 0.00] 0.061183 0.946158 0.108669 8.706764
17 Matt1 2022-12-30 2024-12-31 [S398, SE030, SE137, SE145, SE172, SE182] [0.00, 0.65, 0.14, 0.00, 0.21, 0.00] 0.056098 0.853804 0.100000 8.538041
18 Matt1 2022-12-30 2025-08-29 [S398, SE030, SE137, SE145, SE172, SE182] [0.26, 0.18, 0.55, 0.00, 0.00, 0.00] 0.027453 0.365146 0.070012 5.215447
19 Matt1 2022-12-30 2025-08-29 [S398, SE030, SE137, SE145, SE172, SE182] [0.20, 0.29, 0.50, 0.00, 0.00, 0.00] 0.030653 0.411197 0.100000 4.111970
20 Matt1 1994-12-30 2025-04-30 [S398, SE030, SE137, SE145, SE172, SE182] [0.40, 0.22, 0.07, 0.08, 0.16, 0.07] 0.027411 0.359831 0.091343 3.939355
21 Matt1 1994-12-30 2025-04-30 [S398, SE030, SE137, SE145, SE172, SE182] [0.38, 0.26, 0.11, 0.03, 0.16, 0.07] 0.029384 0.387838 0.100000 3.878383
22 Matt1 2020-08-31 2025-08-29 [S398, SE030, SE137, SE145, SE172, SE182] [0.38, 0.34, 0.12, 0.00, 0.00, 0.16] 0.038383 0.467103 0.105132 4.443004
23 Matt1 2020-08-31 2025-08-29 [S398, SE030, SE137, SE145, SE172, SE182] [0.44, 0.37, 0.06, 0.00, 0.00, 0.13] 0.035523 0.442576 0.100000 4.425760
24 Matt2 2022-12-30 2024-12-31 [SE034, SE139, SE223, S398] [1.00, 0.00, 0.00, 0.00] 0.043895 0.630851 0.094194 6.697353
25 Matt2 2022-12-30 2024-12-31 [SE034, SE139, SE223, S398] [1.00, 0.00, 0.00, 0.00] 0.043895 0.630851 0.094194 6.697353
26 Matt2 2022-12-30 2025-08-29 [SE034, SE139, SE223, S398] [0.62, 0.10, 0.00, 0.28] 0.027584 0.368003 0.089769 4.099443
27 Matt2 2022-12-30 2025-08-29 [SE034, SE139, SE223, S398] [0.50, 0.37, 0.00, 0.13] 0.029800 0.395290 0.100000 3.952901
28 Matt2 1994-12-30 2025-04-30 [SE034, SE139, SE223, S398] [0.49, 0.11, 0.07, 0.33] 0.021148 0.271308 0.097682 2.777465
29 Matt2 1994-12-30 2025-04-30 [SE034, SE139, SE223, S398] [0.54, 0.10, 0.11, 0.24] 0.021662 0.277300 0.100000 2.772999
30 Matt2 2020-08-31 2025-08-29 [SE034, SE139, SE223, S398] [0.63, 0.09, 0.00, 0.29] 0.020269 0.256340 0.089726 2.856905
31 Matt2 2020-08-31 2025-08-29 [SE034, SE139, SE223, S398] [0.65, 0.11, 0.00, 0.24] 0.020627 0.260076 0.100000 2.600761
32 PaulP 2022-12-30 2024-12-31 [SB016, SB068] [0.04, 0.96] 0.033389 0.460319 0.053666 8.577445
33 PaulP 2022-12-30 2024-12-31 [SB016, SB068] [0.55, 0.45] 0.043506 0.634668 0.100000 6.346685
34 PaulP 2022-12-30 2025-08-29 [SB016, SB068] [0.00, 1.00] 0.025607 0.336540 0.071934 4.678452
35 PaulP 2022-12-30 2025-08-29 [SB016, SB068] [0.31, 0.69] 0.028780 0.384430 0.100000 3.844301
36 PaulP 1994-12-30 2025-04-30 [SB016, SB068] [0.87, 0.13] 0.024038 0.300084 0.157280 1.907957
37 PaulP 1994-12-30 2025-04-30 [SB016, SB068] 0 0.000000 0.000000 0.000000 0.000000
38 PaulP 2020-08-31 2025-08-29 [SB016, SB068] [0.57, 0.43] 0.022997 0.289388 0.122281 2.366593
39 PaulP 2020-08-31 2025-08-29 [SB016, SB068] [0.03, 0.97] 0.016412 0.199903 0.100000 1.999026
40 Ren 2022-12-30 2024-12-31 [SB016, SD032, SD035, SD175] [0.08, 0.92, 0.00, 0.00] 0.056701 0.883392 0.056598 15.608129
41 Ren 2022-12-30 2024-12-31 [SB016, SD032, SD035, SD175] [0.00, 1.00, 0.00, 0.00] 0.057074 0.889673 0.060861 14.618097
42 Ren 2022-12-30 2025-08-29 [SB016, SD032, SD035, SD175] [0.00, 1.00, 0.00, 0.00] 0.042733 0.605877 0.104873 5.777256
43 Ren 2022-12-30 2025-08-29 [SB016, SD032, SD035, SD175] 0 0.000000 0.000000 0.000000 0.000000
44 Ren 1994-12-30 2025-04-30 [SB016, SD032, SD035, SD175] [0.19, 0.27, 0.46, 0.09] 0.030650 0.398697 0.158079 2.522136
45 Ren 1994-12-30 2025-04-30 [SB016, SD032, SD035, SD175] 0 0.000000 0.000000 0.000000 0.000000
46 Ren 2020-08-31 2025-08-29 [SB016, SD032, SD035, SD175] [0.06, 0.80, 0.00, 0.14] 0.026644 0.335079 0.117425 2.853563
47 Ren 2020-08-31 2025-08-29 [SB016, SD032, SD035, SD175] 0 0.000000 0.000000 0.000000 0.000000
48 RichR 2022-12-30 2024-12-31 [SE007, SB067, SE033] [0.00, 0.00, 1.00] 0.049409 0.736095 0.104753 7.026932
49 RichR 2022-12-30 2024-12-31 [SE007, SB067, SE033] [0.00, 0.13, 0.87] 0.047400 0.700366 0.100000 7.003661
50 RichR 2022-12-30 2025-08-29 [SE007, SB067, SE033] [0.07, 0.93, 0.00] 0.026879 0.356438 0.065929 5.406372
51 RichR 2022-12-30 2025-08-29 [SE007, SB067, SE033] [0.00, 0.77, 0.23] 0.029793 0.399459 0.100000 3.994594
52 RichR 1994-12-30 2025-04-30 [SE007, SB067, SE033] [0.00, 0.07, 0.93] 0.034668 0.449761 0.189388 2.374821
53 RichR 1994-12-30 2025-04-30 [SE007, SB067, SE033] 0 0.000000 0.000000 0.000000 0.000000
54 RichR 2020-08-31 2025-08-29 [SE007, SB067, SE033] [0.09, 0.00, 0.91] 0.025786 0.320209 0.173557 1.844981
55 RichR 2020-08-31 2025-08-29 [SE007, SB067, SE033] 0 0.000000 0.000000 0.000000 0.000000
56 Scott 2022-12-30 2024-12-31 [S398, SB013, SB023, SB047, SB061, SB081] [0.00, 0.85, 0.00, 0.04, 0.11, 0.00] 0.078691 1.329332 0.108149 12.291633
57 Scott 2022-12-30 2024-12-31 [S398, SB013, SB023, SB047, SB061, SB081] [0.00, 0.69, 0.00, 0.15, 0.17, 0.00] 0.073912 1.224030 0.100000 12.240299
58 Scott 2022-12-30 2025-08-29 [S398, SB013, SB023, SB047, SB061, SB081] [0.49, 0.31, 0.00, 0.00, 0.01, 0.19] 0.027799 0.375633 0.078811 4.766222
59 Scott 2022-12-30 2025-08-29 [S398, SB013, SB023, SB047, SB061, SB081] [0.51, 0.31, 0.00, 0.00, 0.19, 0.00] 0.031176 0.425865 0.100000 4.258648
60 Scott 1994-12-30 2025-04-30 [S398, SB013, SB023, SB047, SB061, SB081] [0.26, 0.24, 0.00, 0.51, 0.00, 0.00] 0.041117 0.547731 0.217265 2.521032
61 Scott 1994-12-30 2025-04-30 [S398, SB013, SB023, SB047, SB061, SB081] 0 0.000000 0.000000 0.000000 0.000000
62 Scott 2020-08-31 2025-08-29 [S398, SB013, SB023, SB047, SB061, SB081] [0.37, 0.00, 0.00, 0.63, 0.00, 0.00] 0.032583 0.415294 0.173183 2.398012
63 Scott 2020-08-31 2025-08-29 [S398, SB013, SB023, SB047, SB061, SB081] 0 0.000000 0.000000 0.000000 0.000000

case- David beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- David beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- David beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- David beg 2022-12-30 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- David beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- David beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00

case- Homer beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- Homer beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Homer beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- Homer beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- Homer beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00

case- Matt1 beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- Matt1 beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Matt1 beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- Matt1 beg 2022-12-30 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Matt1 beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- Matt1 beg 1994-12-30 end 2025-04-30 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Matt1 beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00

case- Matt1 beg 2020-08-31 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Matt2 beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- Matt2 beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Matt2 beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- Matt2 beg 2022-12-30 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Matt2 beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- Matt2 beg 1994-12-30 end 2025-04-30 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Matt2 beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00

case- Matt2 beg 2020-08-31 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- PaulP beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- PaulP beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- PaulP beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- PaulP beg 2022-12-30 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- PaulP beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- PaulP beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00

case- PaulP beg 2020-08-31 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Ren beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- Ren beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Ren beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- Ren beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- Ren beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00

case- RichR beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- RichR beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- RichR beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- RichR beg 2022-12-30 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- RichR beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- RichR beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00

case- Scott beg 2022-12-30 end 2024-12-31 maximize CAGR, wmax=1.00

case- Scott beg 2022-12-30 end 2024-12-31 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Scott beg 2022-12-30 end 2025-08-29 maximize CAGR, wmax=1.00

case- Scott beg 2022-12-30 end 2025-08-29 maximize CAGR, MaxDD <= 10%, wmax=1.00

case- Scott beg 1994-12-30 end 2025-04-30 maximize CAGR, wmax=1.00

case- Scott beg 2020-08-31 end 2025-08-29 maximize CAGR, wmax=1.00