Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | Thanks, Mark! This points out a variety of things to keep in mind. One technique that you used which seems sooo obvious in retrospect, but that I've failed to employ in my searches, is that of "backing out" a strat to measure its impact, AFTER building a group of them - ie a "sensitivity check". I've tended to work more on the "should I add this new one" question, and haven't gone back through them afterwards, to REconsider which of the earlier-added ones might not have ended up meshing well with the whole. That one methodology you pointed out will help me a lot! You've put a lot of attention on maximizing percent invested ... obviously this is a core tenet behind OV's potential ... Would you care to elaborate more on any (manual) methods you've used to help find good sets of strat's that "mesh well" to create higher avg %invested? I've been requesting a "correlation of win-trades" metric output column for that purpose, but without it, I'm at a loss as to how to manually find an optimal mix. Also ... you've focused on one year ... do you do that to save recalc time, or to simplify the problem, or for some other reason? Thanks again! [Edited by Jim Dean on 5/7/2014 7:55 AM] | |
