SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile | Hi, Bill. The Portfolio Analysis was done with EOD data. In real trading using EOD data, you need to enter orders before the end of the day. With EOD data, that means you need to run the analysis prior to the market close with "intra-day" data. If you start analysis 30 minutes prior to market close, then that intra-day data will be 20 minutes old at that point in time (i.e. time-stamped 50 minutes prior to market close). re: your comment about X-Suite strats I don't know whether this responds to your comment or not. In my first post in this thread I stated: "The first snapshot shows a comparison of Mark's original "ATM Macro & Micro" method, with the same strategies (CRT-3, NSP-41, RTM7a, T3-S3, XLS-19 V2, X-MFI and X-ULT) modified to use MOC (instead of the default Market-On-Open or MOO) entry and exits." In that comment, I list the seven strategies that Mark H. used in his Macro+Micro method. I modified ALL SEVEN of these strategies to use MOC entry orders and MOC exit orders in all legs of the strategies for the purpose of doing the Portfolio Simulation shown in the snapshots in that first post of this thread. Maybe you are commenting/asking the process I went through to make these changes(?). I duplicated each strategy and made the MOC modifications in each of the copied strategies. I created a duplicate of Mark's Macro+Micro method, and in that copy of his ATM method, I selected the new strategies modified with MOC entry/exits to replace Mark's original strategy choices (one for one replacement). All 14 strategies (the 7 default strategies, plus the 7 modified strategies) are then run thru analysis and portsim with both ATM methods selected to get the comparison shown in the snapshot. | |
