OmniTrader Forum OmniTrader Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


Only Forum Moderators, Administrators, and the owner of this message may delete it.

 
bjmtigers

Member
25
Posts: 25

Joined: 1/6/2004
Location: Tampa,FL

User Profile
 
Subject : RE: New Macro + Micro Method
Posted : 3/21/2018 10:22 AM
Post #44362 - In reply to #44226

Mark,
I've been experimenting with your ATM method quite a bit. As you suggested, for Longs only I simply set the default for shorts for each Market State to 0. I've kept your test period the same (1/1/2003 to 3/19/2018) so we can make direct comparisons to your results. Barry C's download of Mark's ATM Macro & Micro method included a replacement for the RTM7 strategy with RTM7a; this did improve the results a bit. The most dramatic difference in the results is reducing the leverage from 2x to 1x as necessary for an IRA account. As you can see in the table, the final equity is reduced significantly to about 1% of the value for 2x. The leverage versus equity curve steepens as it approaches 2x and is a straight line on a semi-log plot. Any idea why the reduction in equity is so drastic? Can any adjustments be made in an IRA account to counter act this effect?





Barry M.


[Edited by bjmtigers on 3/21/2018 6:02 PM]

Attached file : Evaluation of ATM Macro & Micro.PNG (22KB - 1513 downloads)
Attached file : Leverage vs %Ending Equity.PNG (12KB - 1583 downloads)

Deleting message 44362 : RE: New Macro + Micro Method


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.