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jpb

Veteran
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Posts: 168

Joined: 5/11/2005
Location: Brown Deer, WI

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Subject : Macro + Micro with Inactivity and MOC and REU
Posted : 4/16/2018 8:00 PM
Post #44500
I got thinking that with RTM strategies, we are really looking at a short time horizon. I wondered if there was an optimal time horizon per strategy that if the position didn't move, we should close the trade. To achieve this, I added an Inactivity condition to each trade plan and used the Strategy Wizard to step through each strategy, testing each Inactivity period from 2 to 22 step 2. From there I tested the period before and after the period that had the highest ratio for Avg Ann ROI/Profit Standard Deviation. I use this ratio because for me it is an assessment of the distribution -- the tighter the Std, the more predictable it is and the less inherent risk.

Next, as I was catching up on my forum reading, I saw that Steve Luerman had done some nice work by changing the strategies to use Market on Close for entry/exit and used the Reuse Intraday funds. I also believe he used the Simulation Setting to Increase Trade Size vs Increase Number of Trades.

Combining the 2 concepts of Inactivity and MOC, I came up with the following results:



Note that these results include commissions.

Of interest, if you don't reuse the Intraday Funds, the ranking of the methods:
1) Inactivity + MOC
2) Inactivity
3) MOC
4) Base (my interpretation of Mark H's original Macro + Micro posting)
5) ATM Macro & Micro from the Nirvana distribution

Activating the reuse of Intraday Funds flip flops the #2 and #3. The results were also lower, but this shows that combining the ideas is adative.



At 1.23x leverage and no commissions, the Inactivity + MOC method produces: Avg Ann ROI / Avg Ann MDD = 85.0% / 12.4% = 6.85




For those interested in the Periods of Inactivity used in each strategy:
CRT-3: 2
NSP-41: 9
RTM7a: 4
T3-S3: 4
XLS-19 V2: 4
X-MFI: 7
X-ULT: 9

Finally, one more pic. For those of you that wonder what an account would look like that starts with $10,000 over the 15 year period, with commissions and no intraday reuse of funds...



Large images attached for those wanting higher resolution.


[Edited by jpb on 4/16/2018 8:05 PM]
Attached file : Leverage1.23.png (68KB - 370 downloads)
Attached file : Leverage2.0.png (73KB - 320 downloads)
Attached file : Leverage2-no-reuse.png (70KB - 318 downloads)
Attached file : Account-10000.png (74KB - 333 downloads)
Attached file : Leverage1.23-800x.png (205KB - 1184 downloads)
Attached file : Leverage2.0-800x.png (213KB - 1243 downloads)
Attached file : Leverage2-no-reuse-800x.png (209KB - 1214 downloads)
Attached file : Account-10000-800x.png (214KB - 1253 downloads)

Deleting message 44500 : Macro + Micro with Inactivity and MOC and REU


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