Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

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Robust Control Bench Bench (gross)

Figure 3.1 Strategy performance (no cost to trade).

Robust Control Bench Bench (gross)

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Figure 3.2 Strategy performance (30 bps to trade).

the run of the backtest. Any place where the line is going up, the robust strat-
egy is actively outperforming the control strategy. Curiously, the two strate-
gies tracked each other fairly well during the first third of the period with the
robust strategy underperforming mildly just prior to the technology bubble