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SteveL

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Joined: 8/19/2005
Location: Boulder, CO

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Subject : RE: No Trade Market State
Posted : 8/10/2018 3:49 PM
Post #45158 - In reply to #45157

Jeff,

I plotted your optimized market state "ATR(22)>ATR(75)[20]*0.8" on SPY as a quick indicator. It is mostly out of the market. So unsurprisingly, I did not see good results in the PortSim using this as a "NoTrades" market state. Are you using SPY?

Here's a snapshot of the quick indicator on SPY:




Also, I'm very suspicious of your 3x increase in trades.

Using Jeff Drake's formula in my analysis had a mild negative effect on simulation results. But, I'm running a simulation with MoC for entries and exits which could account for different results than you saw.


[Edited by SteveL on 8/10/2018 3:50 PM]

Attached file : 2018-08-10_14-38-15.png (84KB - 776 downloads)

Deleting message 45158 : RE: No Trade Market State


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