A good and interesting idea, Richard. It will help showcase the progress and the capabilities of TradersStudio as per the markets changes.
Here are SuperTurtle orginal parameters small portfiolo and a larger portfiolo with new parameters for simple harmony. I optimized these parameters about a year and a half ago.
Yes, thanks for the info. I'm coming into this discussion late, but I assume transaction costs are accounted for? Looks like the strategies earn ~½ Sharpe over time, which is plausible for trendfollowing. Adjusted down to an institutional level of vol, that would be 4% to 8% /year.