mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile | Good morning Jeff, I'll try to respond to your questions (in blue) before the day gets busy. Didn't mean to ignore you yesterday - just had other things to deal with. I take it that you mean, because we took as many trades as possible (using the $1 million, 2% allocation, and 100 long and short), the strategies had to stand on their own (no ATM optimization -- only the definition of the market state really came into play). And because of this and the size of the population over a long period of time, we can find stronger strategies to use with each market state. Then if we activate only those strategies for the given market state, we will effectively be improving our results while minimizing any curve fitting that may be leading us into a false sense of optimistic performance. Did I get that right? Exactly. If we use the trades already screened by ATM and then screen them even more with this, then we're just curve fitting. But, one of the beauties of ATM is that we can use it to export huge numbers of raw trades to see how the strategies work in different market states - and have the trades labeled with the market state at the time of the trade. That's extremely helpful, if done right. Also, the symbol population just happened to be the original set included with ATM Macro & Micro (making it easy to compare). But with this process, I should be able to change up the symbol population and repeat the process to see that the strategies hold up in general within a given market state -- true? Sure! You can repeat your OT and Port Sim run again with a different list that contains all new symbols, append those new additional exported trades to the Trades tab data, and then make sure the yellow shaded cells on that tab are extended to account for the new trades. When analyzed again, it will have even more data to work with to make the analysis more reliable. Nothing would need to be changed on the "Analysis" tab. It will just add the new trades to the analysis. (You might want to re-sort the "Trades" tab by entry date to speed up some calculations, but it's not strictly necessary) With ATM, we can finally begin to identify what type of market and symbol "personality" a strategy works well with. That's huge. Mark [Edited by mholstius on 8/14/2018 5:44 AM] | |
