macrocephalopod

Here's the strat. Let's say we have a portfolio of 50% cash / 50% your simulated stock. At the end of each day, rebalance this portfolio back to 50/50. Basically, you buy more stock if it goes down and sell some if it went up that day. Let me know the returns you see.

So were you able to try this out? @macrocephalopod

I’m surprised the equity curve looks like this. It would suggest that doing the opposite could be a great money maker.

No, if you did the opposite then the volatility drag still works against you. Geometric return is arithmetic return minus half the variance. If arithmetic return is zero then going long/short with rebalancing has the same negative expected return.

Depend on how your using "expected return". In the traditional sense it's zero. But if Geometric is "expected", then you just short it and expect to make money, which is why it's not normal for stocks to have zero arithmetic return.

It's not normal for stocks to have zero geometric return either.