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I have a hypothetical investment strategy that returns $x$ amount after $n$ days for a $1/n$ portion of the portfolio. I want total cumulative portfolio return. Is this right?

Basically, I calculate the return for each portion

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  • $\begingroup$ Why do the alternate portions of your portfolio gain the return? Why is the invested side always changing from day to day? $\endgroup$ Commented Jan 15, 2024 at 2:12
  • $\begingroup$ @KaiSqDist The idea is that the investment strategy has a holding period of $n$ days. I can invest $1/n$ of my portfolio every day to spread out the risk. Say the strategy has a holding period of 2 days (as in the example above). Instead of investing the full amount every 2 days, I want to spread out the risk, by investing 50% on day 1, then 50% on day 2. Then the cycle repeats. $\endgroup$ Commented Jan 15, 2024 at 2:30
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    $\begingroup$ A holding period of 2 days refers to holding an investment for 2 days (2 days worth of returns, excluding the day you invested in the asset). If you invested in day i, you should sell your asset on day i+2. If you want to alternate across the halves, each half should first gain returns for 2 days, then switch to the other half. $\endgroup$ Commented Jan 15, 2024 at 2:54
  • $\begingroup$ @KaiSqDist That's what I'm doing, no? $\endgroup$ Commented Jan 15, 2024 at 17:53

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