Sensitivity Studies and the Reality Checker Addendum

This looks at the number of runs with the Reality Checker prototype.

The Reality Checker

The Reality Checker automates the Scenario Surfer. It generates 100 sequences and presents the confidence levels.

Data

I used Idiot Switching with a P/E10=14 Bear Market. I entered an initial balance of $100000. I selected 2% TIPS. I allocated 100% of the portfolio to stocks when P/E10 fell below a threshold of 13. I allocated nothing into stocks when P/E10 was above threshold. I used withdrawal amount of $4300 through $4800 in $100 increments. This is 4.3% through 4.8% of the initial balance. This amount increases to match inflation. I have recorded the results at the 5% chance of failure level (bottom of the Red level).

I made these runs on the prototype of the Reality Checker.

This shows the effect of 1 through 10 runs (100 through 1000 sequences).

Idiot Switching 5% with 1 Run

Idiot Switching 5% with 5 Runs

Idiot Switching 5% with 10 Runs

Remarks

The original choice of 100 sequences per run is usable for those with data reduction skills. However, an increase to 500 or 1000 sequences would ease data reduction and data interpretation for all.

Have fun.

John Walter Russell
January 19, 2009