SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile | Hi Jim, I have a profile which contains many of the RTM strategies. It generates a LOT of signals. DSS part 1 (i.e. relative strength ordering) is active, producing a DSS sort value for those signals. I did not configure the 2nd part of DSS, which would limit the number of long/short signals. When I run PortSim, and evaluate those results, I get the same results whether "Use DSS results" is enabled or not. And if I change the PortSim TradeSelection criteria (e.g. BTHR descending vs. ascending) I see the TradeSelection criteria DOES affect the results, whether "Use DSS results" is enabled or not. In fact, it was the only thing that affected the results. I got identical results whether DSS was enabled or not. I then confirmed this by completely disabling DSS in the FocusList ToDoList DSS tab (i.e. no relative strength ordering), re-ran the analysis, and got exactly the same results in PortSim that I had with DSS enabled. When I ran Jeff's scenario, I found that the "Use DSS Results" checkbox DOES work. But his scenario is limiting the number of trades getting through to PortSim. The profile I ran, has MANY trades being passed to PortSim. It is almost always fully allocated, so many trades are NOT being taken. You would expect that the DSS sort order would matter. But as I explained above, it had no effect. I'm a little disappointed. I think it would be useful to have the DSS sort order be one of the TradeSelection criteria. But I can probably accomplish that by limiting the number of signals (using DSS part 2) that get passed to PortSim. Steve [Edited by SteveL on 2/6/2013 4:06 PM] | |
