jpb Veteran   Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI  User Profile | A word on the strategy names in the spreadsheet: 1) Strategies beginning with ATM- mean I use it with an ATM method. I do this so I don't accidentally change it. It also groups them together in the strategy list. 2) MOC in the name indicates that the orders are Market on Close. 3) In in the name indicates that it has an inactivity stop. 4) The numbers following In are the values of the parameters for the Inactivity stop. For testing, I wanted to see if different values improved or hindered the effectiveness of the strategy. With the above naming convention, I'm able to perform an additive analysis of the base strategy against the modifications. One note. You will not see a strategy consisting of the Base + Inactivity. This is because I only added the Inactivity stop on top of the MOC. Why? Because that's what I did -- just that simple. The Power of the Analysis Spreadsheet Maybe this is obvious. Let's compare strategies in different market states: Bear and Bear Market State Bear and Bull Market State Here we have a Bear and Bear MS vs a Bear and Bull MS. Looking at the CRT-3 strategy and its derivatives, we can see that in the Bear and Bear MS, the derivatives outperformed the base strategy. However, in the Bear and Bull MS, two of the derivatives marginally outperformed the base. We can also observe that in both MS, 2 of the derivative strategies produce the same result. Do we need both derivatives? Why did I create two? I actually did it because I was optimizing the MOC version using Strategy Wizard 4 and in the Bull Default MS, the performance is different. But, if we observe the results, we can actually see that the base strategy (CRT-3) outperforms all derivatives. So, without this analysis spreadsheet, I would have likely ignored the base strategy as a candidate because I was looking to establish a MOC base set. Am I over analyzing? Am I over optimizing? Is over optimizing bad? Personally I get into a pattern of seeing something and trying to make it better. Once I find something better, then I assume it will always be better -- that's my flaw and the spreadsheet highlights it. This raises a question... If the base CRT-3 strategy outperforms the MOC version, how would I trade it using AutoTrade and ATM -- using a mix of Market and MOC strategies? I don't know the answer to this question yet. The challenge is that AutoTrade runs at a specific time. But more importantly, when OT does its analysis and simulation to produce the trades, what price did it use? Was it the market open price on the day following the signal? I don't know. I do know that for MOC, OT uses the close price for the bar. Since I have a difference in time of execution and AutoTrade only processes once a day, how can I solve this? I suspect I could run 2 instances of OT, splitting my ATM method apart into 2 -- one containing the MOC strategies and one containing the Market strategies. In this manner, I could run the analysis at the appropriate time. Perhaps that will work. Anyone have an answer? Okay, the above is a perfect reason for me to use this analysis technique -- tuning the strategy to the MS and checking that I didn't over analyze and over tune. One last exciting feature of this spreadsheet... the date range. Did you see it? Change the dates and all the stats are updated! If I do that, do the same strategies that I saw as strong over the long run hold up in the date ranges I may be concerned about? Or how about the last 3, 5, or 10 years? Which strategies continue to prove strong? That's powerful! As you can tell, I'm a fan of the spreadsheet. Mark, thanks for sharing it with the community! [Edited by jpb on 8/15/2018 9:32 AM]  Attached file : Results Only Macro And Micro ATM Trades Ver Brown09.xlsx (42KB - 354 downloads) Attached file : BearBearCRT-3.png (28KB - 1051 downloads) Attached file : BearBullCRT-3.png (28KB - 1074 downloads) Attached file : BullDefaultCRT-3.png (29KB - 1067 downloads) Attached file : DateRange.png (6KB - 1025 downloads) |
