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jpb

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Posts: 168

Joined: 5/11/2005
Location: Brown Deer, WI

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Subject : RE: Using ATM to Improve ATM
Posted : 8/14/2018 3:19 PM
Post #45202 - In reply to #45193

I used a simple approach and ran each strategy, one by one, through all market states, combined the results and inserted them on the Trades tab. I then went back through and added all the strategies along with a Long/Short row as it pertained to the data.

I was already about 75% through rerunning all the strategies so I just kept going. The spreadsheet worked great. Because of all the strategies I was testing, I had to unmerge the instructional box on the Analysis tab and then remerged it when I was done expanding the Strategy Performance section.

The reason for the lack of trades for many of the 28 strategies was that trades for a symbol had been taken already for that day as suspected and confirmed. Running the strategies one by one through the market states eliminated that problem. Since I have many different variations of the same base strategy that I was running through, it was necessary to isolate each from another.

Now all the results are side by side and I can see which strategies actually perform well in any given MS. And I can compare the strategy to its base to see if it actually improved performance or not. I have 2 variables to each strategy compared to the base:
1) Market on Close
2) Inactivity

So, I can't contribute the impact of each change to overall improvement (or degradation) without removing the Inactivity stop and running a new set with only MOC as the variable. I'll have to look through my virtual machines to see where I have those versions -- I'm certain I still have them around.

There is one problem. The number of trades is now over 275,000. The spreadsheet is almost 24 MB in size -- zipping it is only shrinking it to 22.8 MB so I can't upload it. I'll try a few more methods of compressing it and see if I can get it under the 7 MB limit for attachment.

Update: Sorry, even 7zip could only compress it to 21 MB.

Update 2: For those who want it, I placed it on my google drive

[Edited by jpb on 8/14/2018 3:43 PM]

Deleting message 45202 : RE: Using ATM to Improve ATM


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