jpb![]() Veteran ![]() ![]() ![]() Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI ![]() | I found my mistake and learned something. On the Strategies tab of the Market State, I had not changed the setting from the default "Use Portfolio Simulation Settings for Strategies" to "Use These Strategies". As such, every time ATM hit the No Trades Market State, it took the trades from "All Strategies" which was the default setting in the Portfolio Simulator. So, essentially it was taking as many of the trades as it could. You can see from the screenshot that I have quite a few strategies enabled in my ToDo List. Even if you don't intend to use those in the method, they will all be used if you don't switch it to Use These Strategies and then only activate the ones you want -- in this case, I didn't want any to be active. When I re-ran my tests, inclusion of the No Trades actually produced worse results as Steve had reported. My results were skewed due to including trades from significantly more strategies than I expected. Version 2 of the formula I had optimized for the market states was actually activating the the No Trade MS 78% of the time, causing ATM to look at all the strategies and take trades -- precisely opposite of what I intended. This also explains why Version 1 of the formula had just under 8,000 trades while version 2 had 20,000 trades. Thank you everyone who attempted to verify and reproduce the results. Sorry for this rabbit hole. [Edited by jpb on 8/10/2018 9:24 PM] ![]() |