mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile | Owners of ATM who need strategies that they don't own yet can get "special pricing" from Nirvana if you give them a call. Here’s the grid that shows all the specific settings and strategies used in each of the 9 market states; I’m sure we’ll find ways to make the results even smoother with ATM - but drawdowns are just a part of the game, and magnified with leverage. I’m suspicious of systems that don’t take a hit when “surprise” DDs have occurred in the past (ex: the credit downgrade in 2008). That’s an indication that things have been curve fit to an unacceptable level just to avoid a particular event. I’m trying to develop systems that are stable - ones that have the DDs when the market does something unusual, but recover from those events in a reliable manner, consistent with their historical performance. Using this method as an example… The snag below highlights the area I was concentrating on in my development work. While not an official Back test / Forward test, I feel the performance in the areas before and after the boxed area lends support to the robustness of the method. This snag of 2017 to the present was a period that definitely wasn't a consideration. It’s barely visible in the 15 year chart, and I didn’t optimize or use any hard data that would’ve been biased by using that time period. Notice the recoveries after the perfectly normal drawdowns that occurred - I’m quite pleased with the performance in an area not used for development. Also notice the flat period that can be easily overlooked in the 15 year log chart. I’m looking for long term, consistent performance. The short term might be “interesting”, but that’s just part of the game, and should be expected. The ability of ATM to rank trades, limit trades, and change strategies is a whole new ballgame that’ll require some modifications to the concepts and rules we’ve utilized in the past. Once again, ATM is definitely a game changer. Mark [Edited by mholstius on 3/14/2018 11:54 AM]  Attached file : 00 15 year snag.png (236KB - 4227 downloads) Attached file : 01 2017 snag.png (218KB - 4212 downloads) |
