Hi, I have a question about he computation of the cumulative return. If each position is opened with 100$ for exmaple the cumulative return is calculate as the sum of the strategie return + 1 or the cumulative product of the multiplicator coefficient as in the course?
Hi Lucas,
The cumulative returns are the cumulative product of the (1+Strategy Returns for each time step).
If for example, this gives you 1.5 at the end, then that means that your strategy grew to 1.5 times the initial investment. To get the $ value, you can multiply 1.5 with the initial investment amount in $.
Hope this helps!