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Mark Holstius

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Joined: 10/11/2012
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Subject : RE: Improving RTM Results With Limit Entries
Posted : 8/15/2017 6:35 PM
Post #36861 - In reply to #36859

Hi Steve...

Thanks for the question.

My post above to Gary explains a lot, but here's what happens if we just keep the allocation at 8% for the limit all day;



Not as bad as the example above for Gary with Avg % Inv of 51%, but still overinvested on a number of days.

PPT stays the same, it's just that we're allocating more money to the trades that hit the limit during the day in the spreadsheet (8% vs 6%).

Ah, the limitations of testing in excel... looking forward to being able to do it better in OV.

Mark

[Edited by Mark Holstius on 8/15/2017 6:38 PM]

Attached file : 01 8 percent results.png (44KB - 881 downloads)

Deleting message 36861 : RE: Improving RTM Results With Limit Entries


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