Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | People have discussed problems with naming and difficulty using Conditions, but I’m just waiting for the finished products and “playing” with the “parts” as they come available. With that in mind, I don’t want to spend a lot of time testing / explaining anything yet. I’m trying to be patient, looking forward to the way these pieces will work together in the near future, and just posted what I’ve found with limited experimentation because I’m excited about what can already be done, trusting that it will only get better. With that in mind, I’ve come across a few things that might be of interest… I’ve built a few simple portfolios based on the strategies after applying Conditions – both the canned ones and a couple based on equity slope. Nothing fancy, just seeing what can be done. I’ve used the “eyeball method” to combine strategies in Strategy Lab after sorting them on MDD, CAR, or % Wins to see the differences. The following combination of strategies points out something Steve’s mentioned before – that one strategy can “hijack” the equity for an account… Here’s the result using 5 strategies from a run using Classic Trend and ELS – nice return, DD, and high percent invested (197.3%) – one of the things we’re looking for; But - what’s actually happened is that the Trending Strat (T1) has taken over (using a lot of the equity) – and here’s what happens if you drop it out of the portfolio; Notice that the Grey area disappears (it marked the date the T1 “went active”), that the equity is better, AND the MDD is half what is used to be (7.1% vs 14.0%) - giving a much better CALMAR (14.8 vs 7.2). So, everything is still inter-related - and focusing solely on a single “goal” (whether CALMAR, CAR, or % Invested) will get you great portfolios, but maybe not the “outstanding” ones without some extra work. The good news is that in the near future it’ll take MUCH less time to build those portfolios, either targeted to different situations or good over multiple markets – and then switch them based on various statistics. Also, I’m not sure any of us fully realize the potential of the ability to add Conditions and then do a “Hard” stop and start to trades… that should be a whole new (& very enjoyable) ballgame. BTW - here’s a comparison of that simple 5 strategy portfolio with and without the Classic Trend applied. (I had to keep the R17-B-ELS in both since that’s only “created” using the Strat Lab); I like that extra 40% / year… Mark [Edited by Mark Holstius on 5/7/2014 6:32 AM]  Attached file : Conditions Compared.jpg (595KB - 763 downloads) Attached file : Conditions 5 Strategies.jpg (619KB - 753 downloads) Attached file : Conditions 4 Strategies.jpg (636KB - 771 downloads) |
