gbarber Veteran   Posts: 282 Joined: 12/30/2012 Location: Pearland, TX  User Profile | I would say try a different strategy in picking the strategies you are using and work with strat lab first to create good custom strategies, then PW to create good portfolios. I have just begun experimenting with PB using some portfolios I have developed with PW. So far I haven't been able to get an improvement over simply using the portfolios individually but far from finished with experiments. My strategy was to create a large pile of custom strategies for particular market types. Rather than go through the mental gymnastics of trying to figure out strategy type would go well with a certain market type, I just tested a very wide variety strategies (all with dynamic lists) in strategy lab. From each run I tried every variety with all the standard set of conditions and some more custom conditions, I picked the few (sometimes just one, other times 4 or 5, and occasionally 0) that had good stats. By good stats I mean CAR of > 20 with MDD < 10. Sometimes I would pick one with a CAR down to 12 if the MDD was < 4. Other times I would pick one with a MDD in the teens if the CAR was above 50. I also looked at % wins. I filtered out those with a % wins less than 60. As you can see, I was going for those with Calmar greater than 2. I found many with Calmar of 5 or more up to 10. The result of this search gave me a very large pile of strategies for the different market types I was investigating. I have not yet completed that search. Still have 2 or 3 more market types to go through. Then I used the strategy page to recalculate that very large pile over the last 3 years to see how each strategy behaved in the current market. I pulled the resulting list out to an Excel spreadsheet. Then I sorted that to find the ones with the best combination of CAR, Calmar, and % wins for the current 3 years. I fed that list to PW with settings of 200, 1, 15, and 1 and got the attached set of results for the multitude of EFs I am using. This set was pretty reasonable. I haven't started live trading with it for several reasons. I am having trouble getting the account i set up with the best portfolio to compute trades. Still waiting on N to help with that. Also, I still have a lot of experimenting still to do to make an even better portfolio set. So it seems to me that these tools will give good results. Of course the proof is in the live trade results and that is still to come.  Attached file : sample portfolio set from PW.docx (19KB - 377 downloads) |
