Comparing Portfolio Weights with Synthetic Return Paths

Summary

This example shows a basic workflow for comparing portfolio value paths across several strategy weights. It sets a date range and starting value, generates daily returns from a normal distribution whose mean scales with the selected weight, compounds those returns, and merges each path by date. It then plots the resulting series for visual comparison. The reusable idea is to organize a parameter sweep so that each candidate setting produces a consistently structured portfolio-value series that can be compared on one chart.

The paths are simulated rather than produced by a trading strategy or a historical backtest, so the chart provides no evidence of real performance. The random generator is reset inside the run function, giving each weight the same underlying random draws; differences therefore come from the modeled return means. The example also omits trading costs, benchmark comparisons, risk statistics, and a rationale for the return distribution or weight choices. Its value is as a simple illustration of comparison plumbing, not as a basis for investment conclusions.

Key ideas

• The example compares portfolio value paths across a list of candidate weights.
• Each path compounds simulated daily returns from a common starting value.
• Resetting the random seed in each run gives each weight the same underlying random draws.
• The plotted comparison is not a historical backtest and cannot establish strategy performance.
• A useful evaluation would also account for costs, risk, benchmarks, and realistic data.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.