jpb![]() Veteran ![]() ![]() ![]() Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI ![]() | Thanks Mark, I was thinking last night that I should dig into these a little more. My thought was if 78% of the time All Strategies work, I was very curious how it was allocating trades, which trades it chose, how it handled multiple strategies signaling trades for the same symbol... I ran the test you asked for and ran a second run with one tweak -- in Port Sim, setting the Increase Trade Size. Why? Because when I ran the first simulation according to your instructions, the final equity was $20 million. I then wondered, what would it look like if I flipped that one parameter. The final equity was then $3 trillion. I know, for analysis, it isn't relevant, but I like seeing substantial growth :) -- I always like to inject a little play into this too. Both sets of trades are attached for those who are interested. Now, a word on the strategies. Spring boarding off some of the ideas in this forum, I added MOC to each of the base strategies of the Macro & Micro method. I also added an Inactivity stop to each strategy (that's the "In" in the name). The final 3 or 4 digits that follow tell me the parameters for the Inactivity stop. The first digit represent Periods (first 2 digits when it is a 4 digit number, followed by Minimum Gain, followed by ATR Periods. So, ATM-XLS-19 V2-MOC-In-1224 would mean that I use this strategy with ATM, it is based on XLS-19 V2, it is configured with MOC entries and exits, it has the Inactivity stop configured as 12 periods, 2% minimum gain, looking at 4 ATR. The ATM method I was using all these strategies with was the 9 market states of Macro & Micro, however, I assigned different versions of each strategy to different market states, replacing any original strategy. I happened to use that Profile for testing out the stock ATM Macro & Micro method when I made my mistake to use all strategies. I expect to see that if XLS-19 V2 had trades that we will see trades also occur for all the derivations. I haven't looked at the data yet to see if they are being managed independently or as one large block. And then if by one large block, what trade plan is assigned. The trade plan is the only real difference due to the inactivity stop. I was going to go through all the strategies to see which were not relevant given the duplicity when All Strategies were traded to see which one proved to be better over the 18 years. That will take a little while to get through, but I think it will be buried in the attached data too. Last note. The No Trades Market State does not have any ranking or filtering that you would have had with Macro & Micro. But for the purposes of getting all the trades, the ranking wouldn't come into play since we are taking all trades and we wouldn't want the filtering. The ranking and filtering is still in place with any of the other market states. Thanks for your interest and encouragement, Jeff ![]() ![]() |