SteveL![]() Veteran ![]() ![]() ![]() ![]() Posts: 262 Joined: 8/19/2005 Location: Boulder, CO ![]() | 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] ![]() |