jpb Veteran   Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI  User Profile | Mark, thanks. That's the rational I understood for the strategy and why the mechanics of the 2 runs. I was looking for a way to do it in 1 run even though it is fast. The manual change to the Data Periods is something easily forgotten. So, the TP I created used opening orders as MOO and closing orders as MOC with no conditions. I thought that would force an open and close in the same day and allow the strategy to advance to the next day and do the same -- effectively eliminating the need for 2 runs that I assumed was due to the use of the orders block. I'm apparently wrong here as to why it is every other day instead of every day. Maybe it is a function of the underlying system? I also agree with you that the market state is based on the underlying symbol (SPY) and that the strategy and trade plan should have no affect. However, my test runs produced results that said, in certain situations during BT, market state is influenced by the construction of the strategy and use of orders block vs TP -- forward test remained unaffected and consistent between the 2 approaches. So, if you ignore the BT range and only look at FT, then all is good. The test run also showed a minor variance of the allocation routine between the use of the orders block and TP which showed up in quantity and G/L. That may be due to the way the orders are assumed executed and equity calculation. These did occur during FT, but again the incidents of this observation were very small and not relevant to Market State determination. The only take away I have with this second observation (and it's nothing new) is to always use Trade Plans in the strategies you use with ATM. I think that was also the message from Nirvana that ATM only works with Trade Plans. Simply sharing results - the 2 run method works to collect market state data for the Forward Test period with great consistency. | |
