LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | Not to be a wet blanket but doing these unbelievable returns with ATM are great experiments but I just know it wouldn't work for me. Taking a quick look at the trades in one of my sims there was a trade size that amounted to 27% of the shares outstanding in that stock and the trades in general were very large. So, back to earth for me. My goal with ATM is finding a really smooth equity curve with low drawdown, a good return and a good Calmar. Using an IRA with no leverage and including commissions typically I'm finding results in the neigborhood of 40-50% Avg Ann ROI, 6-8% Avg Ann MDD and Calmar around 2 to 3. So pretty boring stuff maybe but I like the fact that there were also no losing years in the entire 6 year backtest. All underwater periods were less than two quarters. I wish I could turn my clock back 30 years but this approach seems appropriate for me now. No matter how you slice it all the work done by Mark, Nirvana and others gives us a very versatile tool - thanks. | |
